Structured Products Quant Developer

Pricing of financial products based on various kinds of asset classes is key in a trading and risk management system. A quick and correct pricing enables a trader to make the correct decisions when discussing a deal with a client. Accurate pricing also enables the risk manager to correctly evaluate the current risk exposure. Many of the instruments traded in today's marketplace are priced using numerical methods such as Monte Carlo and finite difference methods. The speed of calculations in such models is essential for the end-user of the system. Handling of exotic options and structured products has increased in importance during the last decade. It is now mandatory with extensive handling of structured products in a trading and risk system. The scope and demands varies between customers. Some banks have financial engineers that develop proprietary models which are linked into our world-class FRONT ARENA product. Other banks rely on FRONT ARENA's core models. For both categories it is vital that FRONT ARENA keeps up with the development in the market and to extend the system with new products that become popular. Job Description As a Quant Developer you will be working with our most advanced pricing solutions in the financial/mathematical core of the system. Your main areas of work will be within structured equity products and hybrid derivatives. You will be developing new exotic equity and hybrid valuation functions but also focus on enhancements and maintenance of existing functions. For many new products no analytical approximation formulas are available so numerical solutions are required and since the Black-Scholes framework is no longer the single model in the market, adding new volatility models is an important development area. A part of the job will also be to coordinate model development with other Sungard units. You will be part of the Product Development department which is responsible for developing, packaging, testing, and documenting the FRONT ARENA product for sales, trading and risk management. We work in small development teams consisting of around 10 persons and you will be part of the Structures and Hybrids team. Your work will be done in close contact with our customers; domestic as well as international. Skills and Qualifications We are looking for candidates who possess a solid academic background in financial mathematical theory and strong mathematical skills in stochastic calculus and Monte Carlo modelling. Preferably, you should also have practical experience in the areas of exotic options or structured products. Suitable applicants for this position will show academic merits coupled with an experience in financial mathematics, programming knowledge in C/C++ and high communication skills. The applicant must be fluent in English. This position is suitable for applicants who have completed their academic studies and have at least one to two years experience from working in the area.