Senior Cross-Asset Derivatives Quant Analyst

Careers at Bloomberg

New York

Posted Nov 21, 2017 - Requisition No. 63479

Bloomberg's Cross-Asset Derivatives Quant Team is responsible for modeling, implementing and deploying derivatives pricing models across all asset classes (FX, Equity, Rates, Commodity, and Credit), supporting the entire suite of Bloomberg products and services. This includes its terminal with 300,000+ clients, trading system solutions, enterprise risk management, and derivatives valuation service. The team ensures that state-of-the-art models driven by high quality market data are brought together in robust, fast and accurate implementations, keeping Bloomberg at the cutting-edge of derivatives analytics.

The group seeks a quant with significant front office experience designing and implementing financial models for exotic derivatives pricing in C++ in the context of a cross asset library. In this role, you will participate in the full life-cycle of quantitative development ranging from model research, prototyping, production implementation, deployment and ongoing maintenance, as well as interaction with clients. Key requirements are outstanding programming skills, strong practical knowledge of numerical methods, and strong knowledge of pricing models across one or more asset classes (equity exotics, volatility products and equity hybrids).

We’ll trust you to: - Implementation and integration of derivatives pricing models in the existing in-house cross asset C++ derivatives pricing libraries.

  • Improvements on accuracy and performance of existing pricing engines.
  • Working closely with business product managers on product specification.
  • Documenting and communicating these findings to internal and external clients as necessary.

You'll need to have: - Ph.D in a technical discipline (mathematics, finance, physics, engineering or similar field) required.

  • 5-10 years of exotic/hybrid pricing modeling experience and broad exposure to cross asset quant library design (extensive C++ experience is required)
  • Solid experience with numerical techniques employed in derivatives pricing models (Monte Carlo, PDE, analytical)
  • Knowledge of equity exotics and equity interest rate hybrids is a plus.
  • History of team collaboration & comfort in a multi-developer environment with a facility for interacting with quants, IT groups and product managers.
  • Strong oral and written interpersonal skills.

If this sounds like you:Apply if you think we're a good match. We'll get in touch with you to let you know the next steps but in the meantime feel free to browse this: http://www.bloomberg.com/professional

Bloomberg is an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, color, national origin, gender, sexual orientation, age, marital status, veteran status, or disability status.

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