What are the responsibilities and job description for the Senior Quantitative Developer - Fixed Income position at Vichara Technologies?
Company Description
Vichara is a Financial Services focused products and services firm headquartered in NY and building systems for some of the largest i-banks and hedge funds in the world.
Job Description
Compensation - 50 lakhs p.a
Benefits:
Vichara is a Financial Services focused products and services firm headquartered in NY and building systems for some of the largest i-banks and hedge funds in the world.
Job Description
- The quant team is responsible for providing valuation and risk calculations for all products traded by the firm (primarily rates, foreign exchange and credit) across a variety of applications. The team is implementing a new quantitative analytics library and are looking for an individual to drive the technology.
- Quantitative Modeling: Expand product and market coverage to address evolving client needs by researching, implementing and rolling out new rates models.
- Analytical Support: Maintain existing models, interact with client portfolio managers, traders and risk managers.
- Test models and explain any differences with expected results
- 5 years of quantitative model development experience using Python Quantlib and C
- A Degree in a Quantitative Field:
- Experience in Bonds and interest rates derivatives (swap, swaptions, CMS spread options, midcurves, etc) and modeling (short rate, Libor Market Model)
- Exposure to curve building and stochastic volatility models.
- Expertise in stochastic calculus and numerical methods such as Monte-Carlo simulation, finite difference schemes.
Compensation - 50 lakhs p.a
Benefits:
- Work from home opportunities
- Extended health care
- Dental care
- Life insurance