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Title: Quantitative Model Validation Engineer - Python
Location: Buffalo/NYC, NY (Hybrid -3 days in office)
Duration: 9 months contract with potential extensions
In-person Interview Required
Pricing models - Black Scholes/Dupire/SABR/Heston
Essential Skills And Qualifications
Title: Quantitative Model Validation Engineer - Python
Location: Buffalo/NYC, NY (Hybrid -3 days in office)
Duration: 9 months contract with potential extensions
In-person Interview Required
Pricing models - Black Scholes/Dupire/SABR/Heston
Essential Skills And Qualifications
- Solid understanding of quantitative models and methodologies, with the ability to critically assess and validate them.
- Strong proficiency in Python (good development practices) and experience with key data structures and libraries.
- Knowledge of financial markets, products, and pricing frameworks.
- Strong problem-solving skills and the ability to work on sophisticated model related challenges.
- Design and implement validation framework to assess the performance of analytics produced by client''s quantitative Libraries.
- Perform in depth validation of quantitative models and evaluate them using relevant performance metrics.
- Design and implement a technical solution to validate and monitor financial models
- Develop an understanding of the quantitative library and its key components.
- Produce clear, well-structured validation reports and present findings to internal collaborators.
- Define model testing strategies and document model methodologies and assumptions.
- Contribute to build and maintain the automated tests framework.
- Apply strong knowledge of financial markets, including pricing conventions, valuation assumptions.
- Deliver high quality insights and support with a strong customer focused mindset.
- Solve complex analytical and technical problems with a high degree of independence.