Job Information
Credit Suisse Quantitative Strategist in New York, New York
Research and analyze the Volatility Index (VIX) and work on volatility models and technologies used for volatility marking and the risk decomposition of VIX products. Develop and maintain hedging and back-testing engine used by Equity Derivatives Traders covering options, variance swaps, and volatility swaps to optimize hedging strategies and risk impact under different market scenarios. Research and develop arbitrage strategies for flow index and relative value trading. Develop and extend quantitative valuation and risk models that rely on stochastic calculus, optimization numerical methods, and statistical analysis techniques for their core operation. Implement and maintain quantitative models using F#, Python, and C++. Provide day-to-day support to Trading, Structuring, Sales, Middle Office, and Control functions on the usage of quantitative valuation and risk models. Work with quantitative models used for equity volatility marking and complex equity derivatives pricing; optimization techniques and statistical analysis; functional programming languages (F#); and, object-oriented programming languages (C++).Requirements: Master’s degree in Mathematics, Financial Engineering, Physics, or a related field of study, plus one (1) year of experience with quantitative models used for equity volatility marking and complex equity derivatives pricing; optimization techniques and statistical analysis; functional programming languages (F#); and/or, object-oriented programming languages (C++).The salary range is $112,200 - $180,000 annually, based on various factors such as experience, education, skills, internal and external market data, etc.
Minimum Salary: 112200 Maximum Salary: 180000 Salary Unit: Yearly