Job Information
Numerix LLC Quantitative Analyst in New York, New York
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.
ADDRESS WHERE SERVICES WILL BE RENDERED: 100 Park Avenue, 15th Floor, New York, NY 10017
HOURS: 9:00 A.M.- 6:00 P.M.; Monday - Friday; 40 hours per week
SALARY: from $96,366.00 to $100,000.00 per year
REQUIREMENTS: Bachelors degree or its foreign equivalent in Financial Engineering, Mathematical Finance or Mathematics and 1 year of experience in the job offered or as Fixed Income Portfolio Manager, Financial Engineer, or Deputy Manager, Finance.
TO APPLY: send your resumes, with salary requirements, to hr.assist@numerix.com and reference Quantitative Analyst, Req# 025-018 in the subject heading.