Quantitative Modeller (C++)

Focus: Mathematical modeling & developing pricing/risk models for Treasury Futures Model Development in C++.

Key Responsibilities:

Design & implement mathematical models for pricing financial derivatives.
Develop risk models for portfolio management, VaR, and stress testing.
Write C++ code for prototyping & implementing financial models.
Calibrate models to market data ensuring statistical robustness.
Work closely with traders, portfolio managers, and quant developers.
Apply stochastic calculus, numerical methods, and PDEs for pricing derivatives.

Skills Required:

C++ & Python – Model implementation & data analysis.
Mathematics & Finance – Stochastic processes, probability, linear algebra, option pricing (Black-Scholes, Heston, SABR).
Numerical Methods – Monte Carlo simulation, PDE solvers, FDM, FEM.
Statistics & Optimization – Kalman filtering, regression models, convex optimization.
(Optional) Data Science & ML – Signal detection in trading.

Preferred Qualifications:

Experience in investment banking/asset management.
Familiarity with quant libraries & financial engineering concepts.
Proven track record in large-scale quantitative development projects.