Quantitative Analyst

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Quantitative Analyst - London Quantitative Analyst - London The work location is in London The duration of the contract is 8 Months Initially The Pay rate on offer is £750/d - £800/d PAYE ONLY This role is working for a British multinational banking and financial services organisation. ROLE DESCRIPTIONThe role will require development of the underlying mathematical models and analytical tools used by the FX, Fixed Income, Credit, or Equities desksTo design, develop, test and document the models developed to the client's standardsDevelop technical solutions for the desk as requiredTo provide rapid fixes to any issues identified in the modelsTo develop model calibration routines and market data analytics (such as curve bootstrapping and interpolation) QUALIFICATIONS & EXPERIENCESolid background in stochastic processes, probability and numerical analysis. Physics, Engineering or similar subjects is desirable, but not strictly required.Knowledge of main instruments used in FX, Fixed Income, Credit, or EquitiesKnowledge of CVA, CSA discounting, VaR, ES and other risk measures.Strong C++ skills.Knowledge of at least one of the following scripting languages: Python, Perl, Shell Script, C#, Java, VBA.Good knowledge of Excel.Knowledge of Windows and UNIX/LINUX, understanding of and experience with version control systems (GIT) and distributed development process.Knowledge of distributed computing and serialisation techniques preferred.Ability to work in fast-paced environment with proven ability to handle multiple outputs at one timeQuantitative Analyst developing models in quantitative finance, IT development, or a trading environmentA degree in mathematical finance, science or maths from a top tier universityKnowledge of the standard pricing models used in the investment banking industryC++ experience (preferably using Visual Studio 2017)Excel VBA experience requiredPython experience preferredExperience with IBOR a plus