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Desk Quant/Interest Rate Derivatives
Financial Firm - New York, NY
The prestigious financial firm in NYC is looking for a desk quant with strong experiences on implementing Monte Carlo engines for interest rate derivatives and in particular with experience on Libor Market Model. The position is a highly quantitative modeling role, with strong knowledge in stochastic calculus, numerical methods, PDEs, SDEs and exceptional programming in C / C++. The right candidate will be responsible for developing and supporting pricing models for interest rate derivatives, exotic and hybrid products. Ideal candidate should have 2+ years industry experience in IR derivatives research and implementation from a previous position in a top quant team and experienced in models for interest rate derivative and hybrid (IR/FX, IR/Credit, and IR/Equity) products. Applicant... See job listing >
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