Quant Developer

Bengaluru - India

Monthly Salary: Not Disclosed

Posted on: 16 hours ago

Vacancies: 1 Vacancy

Job Summary

Job Description:

Develop and enhance pricing libraries- including interest rate curve construction- for vanilla and exotic derivatives.
Improve initial margin and VaR models by integrating new market data and conducting back-testing.
Design tasks and workstreams for PV and Greeks calculations using newly developed quantitative libraries along with validation.
Perform reproducibility assessments by benchmarking model outputs against market-quoted prices.
Collaborate with Front Office Quants and traders to understand refine and document model requirements.
Build lifecycle tests for cashflow validation and execute reconciliation checks to ensure accuracy of trade conversion.
Work closely with stakeholders across functions within Banking/Financial Services environments.

Job Description: Develop and enhance pricing libraries- including interest rate curve construction- for vanilla and exotic derivatives. Improve initial margin and VaR models by integrating new market data and conducting back-testing. Design tasks and workstreams for PV and Greeks calculat...