Our client, a leading financial institution in downtown Toronto is urgently looking for Quantitative Developers to join their team on a 1 year contract. This is an exciting opportunity to work with front office and utilise your strong modelling skills to create financial models for the derivatives valuation process.
- Meet the business' needs of derivatives valuation & adjustment models by forming a close partnership and work proactively with the business to identify key existing and growth areas.
- Keeping abreast of the best practice of derivative valuation and adjustment models, ensuring the theoretical soundness and the numerical accuracy.
- Establish rigorous model implementation framework which complies with both internal model risk management policies and external regulatory requirements.
- Equips the business with adequate and user friendly front office analytical tools used for pricing, hedging, risk management and PnL attribution for both intraday and end of day together with timely on demand quantitative support.
- Communicate daily with traders and sales teams for their requirements
- Masters or PhD in a quantitative discipline (Computer Science/Financial Engineering/ Mathematics)
- Strong knowledge of financial derivatives and their valuation models across all asset classes
- A solid understanding of derivatives computing architecture
- MUST have strong programming skills including modern C++ (11,14,17) and Python (NumPy, pandas, PyTorch, dash)
- Quantitative skills including familiarity with numerical PDE and/or Monte Carlo simulation
- Ability to work in a fast paced, demanding environment
- Excellent communication and organisational skills
Moreover, we are seeking an experienced quant or quantitative developer (1-year contract) for Derivatives Valuation Adjustment model development (CVA, DVA, FVA). Besides the skills above, direct experience in CVA, DVA and FVA and CUDA programming will be a huge plus.
All these hires are immediate.
To Apply: Please apply with resume in Word format
For more opportunities, please go to www.fpinc.ca
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