· Identify new business opportunities in the derivatives analytics space.
· Provide consulting and professional services for clients using Numerix products for integrated/independent pricing and risk analytics system.
· Work as liaison between Customers and Internal Numerix teams (Sales, Quantitative Research, Quantitative Development, and Integration Development).
· Write Requirements Definition (RD) and Product Specifications for vanilla and exotic Derivative products across different asset classes including fixed incoming, FX, equity, commodity.
· Design and perform FE testing on models (calibration and pricing) across different asset classes including fixed incoming, FX, equity, commodity on Numerix solution and testing on model Greeks using Monte Carlo, etc.
Experience and Skills Required:
· Master’s degree (or foreign equivalent) in Mathematics, Financial Engineering, Computer Science, or related field.
· 2 years of experience with Excel and VBA, Java, Python programming languages.
· Demonstrated knowledge of the following:
- derivative pricing for both vanilla and exotic derivatives across FI/ FX/CC/INF/CR/EQ;
- risk management techniques including parametric, historical, and Monte Carlo VaR, credit exposure, XVA, etc.;
- financial mathematics skills, including stochastic calculus, numerical methods for PDE, numerical linear algebra, real analysis and probability, Monte Carlo method, and time series analysis; and financial modeling, financial mathematics, or quantitative/engineering related research.