Top EU investment bank seeks exceptional Quantitative Modeler with significant experience in the field of Credit and Interest Rate hybrid modelling.
The candidate will be expected to be a senior source of quantitative support to the trading desk, and be leading a number of project based teams on the continuing development of the highly exotic analytics library used by this top institution.
The bank is in an excellent position going into 2009 after shedding the majority of its risky assets before the fall in the market.

You will be reporting directly in to the head of Interest Rate quantitative analytics and a senior trader on a day to day basis and have two direct reports on the first project that you will be working on.

Qualifications:
-Experience working on a range of Interest rate and credit products: CVA, CDO, CCDS, Swaptions, Range Accruals, Volatility Swaps, Forward starting variance swaps, among others,
-Exceptional Mathematical modelling ability: stochastic methods in computation, Monte Carlo (Metropolis), and Path Integral Monte Carlo methods, Black-Scholes, Local Vol, Heston, Jump Diffusion, Mean Reversion,
-Top academic background to PhD, DEA level in a highly quantitative field: Mathematics, Physics, Financial Engineering, etc,
-Proficient in C++, C, Matlab, VBA,
-UK work permit,
-Excellent communication skills,
-Past managerial experience would be a plus.

To apply or for more information please contact by mail.
www.selbyjennings.com