Quantitative Analyst

Numerix • New York, NY

1d • Onsite

About The Position

Since our founding in 1996, we have been at the vanguard of financial technology, providing groundbreaking expertise, quantitative analytics and software that redefine pricing and risk management in the financial markets. With the strategic acquisitions of FINCAD, PolyPaths and Kynex, Numerix has further strengthened its leadership position empowering financial institutions worldwide, to transform risk into opportunities with confidence.

Requirements

• Bachelor’s degree or its foreign equivalent in Financial Engineering, Mathematical Finance or Mathematics
• 1 year of experience in the job offered or as Fixed Income Portfolio Manager, Financial Engineer, or Deputy Manager, Finance.

Responsibilities

• Work closely with cross-functional teams, including front office and risk management users to gather, analyze and document requirements for reviewing and analyzing derivative models for pricing and risk management.
• Participate in the development, testing and enhancement of quantitative models and methods in C++ within the Numerix CrossAsset XL framework.
• Facilitate structuring, pricing and administration of diverse financial derivatives and structured products covering fixed income, credit, equity, commodities, foreign exchange, inflation and hybrids.
• Implement restrictions on the use of LIBOR fallback/transition curves when pricing a settle-in-advance FRA, develop a new Compound Overnight Futures Option Instrument object, and integrate a new Rolling Bond Index object.
• Enhance the Zero Rate Shift Bump object by introducing a new input feature for smoothing out tent shocks at start or end points.
• Upgrade the CapFloor Analytic object to accommodate duplicate fixing dates and revise the calculation methodology of the Greek Rho in the Commodity Future Analytic object.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level