quantlib-jobs — Supply and demand of quantitative finance jobs

[QuantLib-jobs] Trading Research Analyst

[Pack, J. B. S. <Jai...@ba...>]

Hi there:

=20

We have a job opening for a Trading Research Analyst in our San
Francisco office.

=20

=20

BGI's Global Trading Research Group is looking for an individual to work
with Trading, Research, and Portfolio Management, to provide tools and
processes used in monitoring our trading performance, and performing
quantitative analyses of our trading strategies. The candidate will work
closely with end users of varying technical sophistication, as well as
technologists throughout the firm. The ideal candidate will have strong
programming skills and real-world experience working with large
financial datasets.=20


Responsibilities=20

-Design, develop, maintain, and support trading analytic tools used by
Trading, Research, Portfolio Managers, and Strategists across the firm.=20
-Design and implement processes to improve our various data collections
needs.=20
-Be articulate and communicate effectively with the trading desk, other
internal clients, and external counterparties.=20
-Be a team player, working well with partners in trading, research,
portfolio managers, and strategists.=20


Qualifications=20

-BA/BS in Computer Science, Physics, Mathematics, Engineering, or
related field. An advanced degree is desirable.=20
-Strong analytical and problem solving skills coupled with a strong
attention to detail.=20
-Experience working with large datasets and relational databases. MySQL
experience is a plus.=20
-A minimum of five years C++/Java programming in a Unix or Windows NT
environment.=20
-Experience with a statistical software package a plus.=20
-Good communication skills and the ability to work effectively and adapt
quickly in a rapidly changing, team-based environment.=20
-Industry knowledge of trading operations is desirable.

=20

To apply, use this URL:

https://barclays.recruitmax.com//main/careerportal/candidate_update.cfm?
szOrderID=3D2754

=20

=20

Jaime Pack

Recruiting Coordinator

Human Resources

Barclays Global Investors

*: (415) 908-7612 (office)

6: (415) 618-1411 (fax)

45 Fremont Street, San Francisco, CA 94105, USA

=20

http://www.linkedin.com/in/jaimepack
<http://www.linkedin.com/in/jaimepack>=20
=20
--=20
=20
This message and any attachments are confidential, proprietary, and may =
be privileged.  If this message was misdirected, Barclays Global =
Investors (BGI) does not waive any confidentiality or privilege.  If you =
are not the intended recipient, please notify us immediately and destroy =
the message without disclosing its contents to anyone.  Any =
distribution, use or copying of this e-mail or the information it =
contains by other than an intended recipient is unauthorized.  The views =
and opinions expressed in this e-mail message are the author's own and =
may not reflect the views and opinions of BGI, unless the author is =
authorized by BGI to express such views or opinions on its behalf.  All =
email sent to or from this address is subject to electronic storage and =
review by BGI.  Although BGI operates anti-virus programs, it does not =
accept responsibility for any damage whatsoever caused by viruses being =
passed.

[QuantLib-jobs] VB.NET Consultant

[Maiden, J. <JM...@mt...>]

            Hi, not posting for a full-time position, but seeking
someone with VB.Net experience. I'm a newbie to the language, and every
once in a while I need a consultant to talk with. To repeat, this is not
a full-time programming gig. The emphasis is on providing technical help
on occasion so I can learn enough to fix my problems. Please e-mail me a
brief description of your background and your hourly rates. Look forward
to hearing from you.

=20

       Regards,

=20

                     John Maiden

=20

[QuantLib-jobs] Barclays Global Investors Quant Job Openings

[Pack, J. B. S. <Jai...@ba...>]

Senior Quantitative Analyst - Portfolio Construction

San Francisco, CA

=20

Barclays Global Investors (BGI) is America's largest money manager,
providing structured investment strategies such as indexing,
risk-controlled active products, and exchange traded funds to investors
worldwide. For 35 years, BGI has been at the forefront of developing
innovative investment ideas, applying science and technology to the
investment process. Headquartered in San Francisco and named one of the
SF Business Times' ''Best Places to Work in the Bay Area 2007, ''the
Barclays PLC subsidiary employs over 3,500 people globally and manages
$1.8 trillion in assets.

=20

BGI's Fixed Income US Portfolio Solutions team is seeking a Senior
Quantitative Analyst - Portfolio Construction.

=20

=20

Key Responsibilities

=20

* Oversee all separate fixed income accounts.

* Focus on allocation of strategies and rebalancing of each separate
account.

* Drive systems development supporting portfolio construction.

* Provide in-depth analysis on sector exposure.

* Interact with clients regarding portfolio construction.=20

* Monitor and maintain performance of accounts across sectors.=20

* Assess the effectiveness of risk management frameworks.

=20

=20

Qualifications

=20

* 5+ years experience in a portfolio analysis/construction/optimization
or an asset allocation role in fixed income, ideally at a buyside firm.

* Experience in working closely with portfolio managers and traders.

* Strong development and knowledge of derivative pricing models.
Multiple asset classes are beneficial, but not essential.=20

* Experience with US securities -- corporates, mortgages, structured
securities (ABS, CMBS), and derivatives instruments.

* Good programming skills in Matlab, R, or S-Plus. C++ is a plus.

* Good quantitative skills. Ability to analyze large data sets.=20

* PhD or MS in a quantitative subject such as Applied Math, Physics, or
Statistics; CFA is a plus.

=20

=20

To apply, use this URL:

=20

https://barclays.recruitmax.com//main/careerportal/candidate_update.cfm?
szOrderID=3D2655

=20

-------

Research Associate

San Francisco, CA

=20

Barclays Global Investors (BGI) is America's largest money manager,
providing structured investment strategies such as indexing,
risk-controlled active products, and exchange traded funds to investors
worldwide. For 35 years, BGI has been at the forefront of developing
innovative investment ideas, applying science and technology to the
investment process. Headquartered in San Francisco and named one of the
SF Business Times' "Best Places to Work in the Bay Area 2007, "the
Barclays PLC subsidiary employs over 3,500 people globally and manages
$1.8 trillion in assets.

=20

BGI's Global Index and Markets Group (GIMG) is seeking a Research
Associate to conduct quantitative research for products with alpha
expectations managed by the Index Group and develop mathematical trading
models & strategies, including the generation of alpha. He/she will also
establish metrics for risk and performance and collaborate with
portfolio management and trading teams to drive implementation and
generate revenue.

=20

=20

Key Responsibilities

=20

*         Design, calibrate, and optimize quantitative models for market
processes and trading strategies.

*         Design and implement analysis and monitoring tools.

*         Identify data sources; design appropriate data models; gather,
cleanse, and validate data.

*         Perform ad hoc analysis for portfolio management and strategy
groups.

*         Provide quantitative support for other researchers.

=20

=20

Qualifications

=20

*         Advanced degree in finance, engineering, physics, economics,
mathematics, or other quantitative discipline.

*         Knowledge of trading, financial markets and Statistical
Arbitrage desirable.

*         Relevant experience working with large datasets, quantitative
model development, and statistical hypothesis testing.

*         Creativity and out of the box thinking.

*         Working knowledge of statistics and econometrics.

*         Superior analytical and quantitative skills.

*         Proficiency in computer programming, statistical analysis and
numerical techniques. Strong familiarity with Excel and Matlab.
Knowledge of Perl or Java is a plus.

*         Demonstrated ability to design and implement robust numerical
algorithms.

*        Excellent teamwork, relationship building, and communication
skills, including ability to distill complex concepts into a form
understood by a broader audience.

=20

To apply, email a Word or PDF resume to:
Res...@iq...

=20

=20

Jaime Pack

Recruiting Coordinator

Human Resources

Barclays Global Investors

*: (415) 908-7612 (office)

6: (415) 618-1411 (fax)

45 Fremont Street, San Francisco, CA 94105, USA

=20

http://www.linkedin.com/in/jaimepack
<http://www.linkedin.com/in/jaimepack>=20
=20
--=20
=20
This message and any attachments are confidential, proprietary, and may =
be privileged.  If this message was misdirected, Barclays Global =
Investors (BGI) does not waive any confidentiality or privilege.  If you =
are not the intended recipient, please notify us immediately and destroy =
the message without disclosing its contents to anyone.  Any =
distribution, use or copying of this e-mail or the information it =
contains by other than an intended recipient is unauthorized.  The views =
and opinions expressed in this e-mail message are the author's own and =
may not reflect the views and opinions of BGI, unless the author is =
authorized by BGI to express such views or opinions on its behalf.  All =
email sent to or from this address is subject to electronic storage and =
review by BGI.  Although BGI operates anti-virus programs, it does not =
accept responsibility for any damage whatsoever caused by viruses being =
passed.

[QuantLib-jobs] quant finance jobs at Barclays Global Investors

[Pack, J. B. S. <Jai...@ba...>]

We have a number of quant finance jobs at BGI in San Francisco. If you
are interested in having your resume reviewed, email a copy to
jai...@ba....

=20

Jaime Pack

Recruiting Coordinator

Human Resources

Barclays Global Investors

*: (415) 908-7612 (office)

6: (415) 618-1411 (fax)

45 Fremont Street, San Francisco, CA 94105, USA=20
=20
--=20
=20
This message and any attachments are confidential, proprietary, and may =
be privileged.  If this message was misdirected, Barclays Global =
Investors (BGI) does not waive any confidentiality or privilege.  If you =
are not the intended recipient, please notify us immediately and destroy =
the message without disclosing its contents to anyone.  Any =
distribution, use or copying of this e-mail or the information it =
contains by other than an intended recipient is unauthorized.  The views =
and opinions expressed in this e-mail message are the author's own and =
may not reflect the views and opinions of BGI, unless the author is =
authorized by BGI to express such views or opinions on its behalf.  All =
email sent to or from this address is subject to electronic storage and =
review by BGI.  Although BGI operates anti-virus programs, it does not =
accept responsibility for any damage whatsoever caused by viruses being =
passed.

[QuantLib-jobs] Link to job offers...

[QUANTster <ji...@qu...>]

Greetings: 

 

Luigi suggested that I send this announcement to this forum. Thank you for
posting this..

 

"Link to job offers on QUANTster: The Quantitative Finance Job Market Daily
- THE Source for Quants in North America. 

www.quantster.com <http://www.quantster.com/>   New positions are updated
daily."  

 

 

Cheers, 

 

Jim Varriale, publisher

QUANTster: The Quantitative Finance Job Market Daily 

 <http://www.quantster.com/> www.quantster.com

NYC office: 1-718-432-5125 

 

 

 

 

 

[QuantLib-jobs] QuantlibXL consultant research

[<vit...@so...>]

Hello everybody,
we are an Italian software house (www.softsolutions.it) and we are looking 
for a consultant (that can also work remotely) with a strong knowledge in 
QuanlibXL Addins.
He will support us in developing a Corporate Bond pricing spreadsheet, 
with special focus in Quantlib parameters for Corporates & Government 
pricing and accuracy with respect to Bloomberg prices and yields
The effort should be abt 5-10 days.
Our research is urgent.
Best Regards
Vittorio Di Stefano
tel: 3928502830
email:  vit...@so...



Vittorio di Stefano
mailto:vit...@so...

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel:    +39 035-22714-1
Fax:    +39 035-22714-99
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the 
addressee 
unless otherwise indicated. If you have received this e-mail in error we 
would 
be very grateful if you could please notify us immediately at 
mailto:in...@so... and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications 
through 
its internal and external networks.

SoftSolutions! s.r.l.

**************************************************

[QuantLib-jobs] Internship Offer in Dublin

[<mar...@ti...>]

In attachment an internship offer for a quant dep in an Italian asset 
management based in Dublin.
Thanks
M.

[QuantLib-jobs] New York-based hedge fund seeks senior application developer

[Norman Y. <ny...@mi...>]

Wanted: Experienced senior application developer with substantial =20
experience with Java and R to take over development and maintenance =20
of a real-time commodity and currency trading system for hedge fund.  =20=

A strong background in UNIX required. Strong knowledge of SQL needed =20
(i.e., experience writing stored procedures and triggers in =20
PostgreSQL, Oracle or Informix). Knowledge of financial markets a =20
plus. Knowledge of the RMetrics library and background in =20
quantitative finance helpful, but not absolutely required. A creative =20=

mind is necessary. Salary highly competitive with excellent benefits. =20=

Please email r=E9sum=E9 and contact information to nyamada AT =20
millburncorp DOT com.=

######################################################################
This e-mail is confidential and should not be redistributed or
forwarded by the recipient.  The information contained in this e-mail
message is intended only for the use of the individual or entity named
above.  If the reader of this message is not the intended recipient or
you have received this communication in error, please immediately
notify us by telephone.  Receipt by anyone other than the intended
recipient is not a waiver of any work-product or, if applicable,
attorney-client privilege.

This e-mail does not constitute an offering of any security.  Such an
offering may only be made by means of a private placement memorandum
or other disclosure document.  Nothing in this e-mail constitutes
investment advice.  Past performance is not indicative of future
results.  All e-mail to and from Millburn Ridgefield Corporation and
its affiliates is monitored, stored and made available to regulators
if requested.
######################################################################

[QuantLib-jobs] Quantitative Analyst - Investment Bank - London - Negotiable salary

[Ferdinando A. <fer...@gm...>]

Quantitative Analyst - Investment Bank - London - Negotiable salary

The investment bank unit of a primary Italian banking group is looking
to fill two positions for its front-office quantitative team. The team
will have a strong emphasis on Equity derivatives and hybrids. The
ideal candidate would have a MSc degree in science
(math/physics/engineering/computer) plus at least one of the
following:
1.strong background in mathematics, stochastic calculus, SDEs, etc.
2. experience with numerical methods, with emphasis on Monte Carlo;
3.strong experience in C++ (STL, Boost, QuantLib).

Your mission and responsibilities will include: maintenance and
improvement of existing models; pricing and hedging exotic Equity
derivatives; support of the trading floor for specific transactions
where complex modelling is required. The job will be based in London.

Contact Ferdinando Ametrano (ferdinando DOT ametrano AT gmail DOT com)

[QuantLib-jobs] Fixed Income & Currency Quantitative Analyst

[Chiara F. <Chi...@sa...>]

 Hi,
 
There's a new position opening at Sanpaolo IMI Asset Management Sgr,
The position is  the Quantitative Research team.
The requirements are:
- Good knowledge of the Term Structure 3 Factor Models
- Good ability in Matlab/VBA
- Good communication skills, team-working attitude, and enthusiastic and
  strongly motivated to work in context where quantitative research is
  applied to active portfolio management
- Good knowledge of PPP and its extensions
- Salary will be commensurate to with the candidate's abilities and
  professional experience + Bonus based on performance

Contact Information:
 -email at : cor...@sa...



---------------------------------------------------------------------
This e-mail is confidential; its content does not constitute a commitment by Sanpaolo IMI Asset Management SGR S.p.A. except where provided for in a written agreement between this e-mail addressee and Sanpaolo IMI Asset Management SGR S.p.A. Any unauthorised disclosure, use or dissemination, either whole or partial, is prohibited. If you are not the intended recipient of the message, please notify the sender immediately.

Questo messaggio e' confidenziale; il suo contenuto non costituisce impegno da parte di Sanpaolo IMI Asset Management SGR S.p.A. salvo accordo scritto tra destinatario e Sanpaolo IMI Asset Management SGR S.p.A. La pubblicazione, l'uso o la diffusione non autorizzati di questo messaggio, sia in forma completa che parziale non sono consentiti. Se non siete i destinatari di questo messaggio, siete pregati di avvertire il mittente immediatamente. 
---------------------------------------------------------------------

[QuantLib-jobs] Fixed Income & Currency Quantitative Analyst

[Chiara F. <Chi...@sa...>]

 Hi,
 
There's a new position opening at Sanpaolo IMI Asset Management Sgr,
The position is  the Quantitative Research team.
The requirements are:
- Good knowledge of the Term Structure 3 Factor Models
- Good ability in Matlab/VBA
- Good communication skills, team-working attitude, and enthusiastic and
  strongly motivated to work in context where quantitative research is
  applied to active portfolio management
- Good knowledge of PPP and its extensions
- Salary will be commensurate to with the candidate's abilities and
  professional experience + Bonus based on performance

Contact Information:
 -email at : cor...@sa...



---------------------------------------------------------------------
This e-mail is confidential; its content does not constitute a commitment by Sanpaolo IMI Asset Management SGR S.p.A. except where provided for in a written agreement between this e-mail addressee and Sanpaolo IMI Asset Management SGR S.p.A. Any unauthorised disclosure, use or dissemination, either whole or partial, is prohibited. If you are not the intended recipient of the message, please notify the sender immediately.

Questo messaggio e' confidenziale; il suo contenuto non costituisce impegno da parte di Sanpaolo IMI Asset Management SGR S.p.A. salvo accordo scritto tra destinatario e Sanpaolo IMI Asset Management SGR S.p.A. La pubblicazione, l'uso o la diffusione non autorizzati di questo messaggio, sia in forma completa che parziale non sono consentiti. Se non siete i destinatari di questo messaggio, siete pregati di avvertire il mittente immediatamente. 
---------------------------------------------------------------------

[Quantlib-jobs] www.quantster.com

[QUANTster <ji...@qu...>]

Greetings: 

 

If possible to post this it would be appreciated. 

 

"The Source for Quants in North America" - QUANTster: The Quantitative
Finance Job Market Daily - www.quantster.com <http://www.quantster.com/> 

 

Thanks and best regards, 

Jim

 

 

Jim Varriale, publisher

QUANTster: The Quantitative Finance Job Market Daily 

 <http://www.quantster.com/> www.quantster.com

NYC office: 1-718-432-5125 

 

 

 

 

 

[Quantlib-jobs] Front Office Quant Developer for Equity, Interest Rates and Commo dity Derivatives

[<Pet...@op...>]

Sal. Oppenheim (www.oppenheim.com <www.oppenheim.com> ) is looking for a
front-office quant developer for its derivatives trading department in
Frankfurt.

The candidate should have a PhD or MSc degree in applied mathematics,
mathematical finance or physics and experience with Monte Carlo and/or PDE
methods in finance as well as strong C++ experience.

The tasks are
- development of equity, IR and commodity derivatives models
- stochastic volatility, BGM, markov functional, term structure of variance
models
- trading floor support for the trading and structuring desk

The job is based in Frankfurt. German language is a plus.

Contact: Peter Schwendner (pet...@op...).

[Quantlib-jobs] =?WINDOWS-1252?Q?Quantitative_Analyst_=96_Italian_inv?= =?WINDOWS-1252?Q?estment_bank_-_Milan_=96_=80_Negotiable?=

[Ferdinando A. <fer...@gm...>]

Quantitative Analyst =96 Italian investment bank - Milan =96 =80 Negotiable

The investment bank unit of a primary Italian banking group is looking
to fill three positions for its front-office quantitative team. The
team will have a strong emphasis on IR derivatives, the goal being to
boost the IR trading desk. Side projects will include inflation
derivatives, FX exotics, and hybrids.

The ideal candidate should have a PhD or MSc degree in science
(math/physics/engineering/computer) plus at least one of the
following:

- strong background in mathematics, stochastic calculus, SDEs, etc.
- excellent experience with numerical methods, with emphasis on Monte
Carlo and/or PDEs;
- strong experience in C++ (STL, Boost, QuantLib)

Your mission and responsibilities will include:

- development of new (BGM, Markov functional) models with stochastic
volatility;
- maintenance and improvement of existing models;
- pricing and hedging exotic IR derivatives;
- trading floor support for specific transactions where complex
modelling is required;

The job will be based in Milan: Italian language knowledge will be
considered a plus. This is an opportunity to join an exciting project
and to experience exceptional growth within a strong team and under
the mentoring of an external top class Quantitative Finance
professional.

Contact Ferdinando Ametrano (fer...@gm...).

[Quantlib-jobs] Quant Portfolio Strategies-- Job Post

[Chiara F. <Chi...@sa...>]

Hi,

There's a new position opening at Sanpaolo IMI Asset Management Sgr,

The position is  the Quantitative Research team.

The requirements are:
--Extensive experience and excellent in Matlab, good in VBA and basic use 
of SQL;
--Excellent educational background in econometric and statistics. (PhD or 
Master in Statistics/econometrics is preferred);
--Good communication skills, team-working attitude, and enthusiastic and 
strongly motivated to work in context where quantitative research is 
applied to active portfolio management;

Compensation

-Salary will be commensurate to with the candidate's abilities and 
professional experience.



*************************************************
Corrado Gaudenzi
Head of Quantitative Research
Sanpaolo IMI Asset Management Sgr
Via Visconti di Modrone 11 - 20121 Milan
ph.   +3902303472542
fax   +3902303472297




*************************************************
Chiara Fornarola
Quantitative Research
San Paolo IMI Asset Management Sgr
Via Visconti di Modrone 11 - 20121 Milan
Phone +3902303472593
Fax      +3902303472297



---------------------------------------------------------------------
This e-mail is confidential; its content does not constitute a commitment by Sanpaolo IMI Asset Management SGR S.p.A. except where provided for in a written agreement between this e-mail addressee and Sanpaolo IMI Asset Management SGR S.p.A. Any unauthorised disclosure, use or dissemination, either whole or partial, is prohibited. If you are not the intended recipient of the message, please notify the sender immediately.

Questo messaggio e' confidenziale; il suo contenuto non costituisce impegno da parte di Sanpaolo IMI Asset Management SGR S.p.A. salvo accordo scritto tra destinatario e Sanpaolo IMI Asset Management SGR S.p.A. La pubblicazione, l'uso o la diffusione non autorizzati di questo messaggio, sia in forma completa che parziale non sono consentiti. Se non siete i destinatari di questo messaggio, siete pregati di avvertire il mittente immediatamente. 
---------------------------------------------------------------------

[Quantlib-jobs] job post

[Xiaowen W. <xw...@in...>]

Hi,

 

There's a new position opening at Interactive Brokers LLC, a leader in
electronic brokerage and option market making. The position offers a great
opportunity to enter the finance industry as well as great growth potential.

 

Following the dashed line is the job description.

 

Thanks

 

Xiaowen Wang

Interactive Brokers LLC

One Pickwick Plaza

Greenwich, CT 06830

Phone: (203) 618-5941

Email: xw...@in...

 

Position:

            Quantitative programmer

 

Location:

            Greenwich, CT.

 

Job description:

            The candidate will develop software system (mostly server-side
in C++) on option pricing and risk analysis. These fully automated system
help trader explore trading opportunities and manage risk. The work requires
using standard pricing and risk analysis theory (arbitrage-free option
pricing, multivariate variance-covariance analysis, volatility estimations
etc), as well as recent cutting-edge development in quantitative finance
theory.

 

Requirements:

            -- PhD or Master in math, physics, or other quantitative
subjects. Strong applied math background in statistics, numerical analysis
or related areas.

            -- Well experienced in C++ and Object-Oriented design.
Experienced in Linux/UNIX development environment. Experience in Java,
script languages (perl, python etc.) and relational database is preferred.

            -- Dedicated, enthusiastic, quick learning and good at
communications.

            -- Prior experience in finance is preferred, but not required.

 

Compensation:

            Base salary 100K - 120K, plus performance-based bonus package.

 

Candidates must be authorized to work in the US. NO AGENCIES!

 

Send resume to xw...@in....

 

Visit http://www.interactivebrokers.com for more company info.

[Quantlib-jobs] Free quant finance newsletter

[QUANTster <ji...@qu...>]

Greetings: 

 

I'm writing to ask for your help in distributing the message below. I'd be
grateful for whatever help you may be willing to provide. Thanks - JV

 

QuantLib readers are invited to subscribe to The QUANTster Monthly, a career
advancement newsletter edited for quantitative finance professionals. 

This e-mail newsletter is totally free and you can subscribe here:
www.quantster.com/monthly

 

Best regards, 

Jim Varriale, publisher

 

QUANTster: The Financial Job Market Daily | Quantitative Finance

www.quantster.com <http://www.quantster.com/> 

QUANTster is a US-based specialized job board which currently attracts more
than 17,000 visitors monthly. 

 

 

 

 

  

 

 

 

 

[Quantlib-jobs] Looking for researcher / developer who has in-depth knowledge of the Libor Market Model and C++

[<mrs...@ya...>]

We are looking for an exceptional researcher / developer who has
in-depth knowledge of the Libor Market Model and C++.  

If you think you may have the right qualities, please e-mail your CV
(in total confidence) to :
               mrs...@ya...

Possibility of remote working.

[Quantlib-jobs] Derivatives Front Office Quant Opening / Frankfurt, Germany

[<Pet...@op...>]

Der Bereich Trading & Derivatives der Privatbank Sal. Oppenheim jr. & =
Cie.
sucht eine(n) Mitarbeiter(in) f=FCr die quantitative Produktentwicklung =
von
Aktien- und Zinsderivaten.

T=E4tigkeitsprofil / Aufgaben

*	Konzeptionelle Entwicklung von Pricingmodellen f=FCr Aktien- und
Zinsderivate=20
*	Implementierung dieser Modelle in C++=20
*	Enge Zusammenarbeit mit dem Handelstisch

Ausbildung

Diplom in angewandter (Finanz)-Mathematik oder Physik mit stark =
numerischer
Ausrichtung
Evtl. Promotion

Erfahrungen / Kenntnisse

*	Erfahrung in der Entwicklung von =FCber Black/Scholes hinausgehenden
Modellen
*	Konkrete Erfahrungen mit Pricingmodellen f=FCr Aktien- oder
Zinsderivate
*	Fortgeschrittene Programmierkenntnisse in C++=20
*	Sehr gute Kenntnisse der angewandten finanzmathematischen
Fachliteratur im Aktienderivate- oder Zinsderivatebereich=20
*	Sehr gute Deutsch- und Englischkenntnisse in Wort und Schrift=20

Kontakt:

Dr. Peter Schwendner
Sal. Oppenheim jr. & Cie.
Untermainanlage 1
D-60329 Frankfurt am Main
E-Mail: pet...@op...
Tel. 069 7134 5460

[Quantlib-jobs] Quant Developer Trading & Derivatives

[<Pet...@op...>]

http://jobs.phds.org/jobs/pschwen/listing_2005_10_07
<http://jobs.phds.org/jobs/pschwen/listing_2005_10_07> 

[Quantlib-jobs] Asset Allocation Quant

[Ferdinando A. <na...@am...>]

*ASSET ALLOCATION QUANTITATIVE DEVELOPERS/ANALYSTS*

*The Company*
Monte Paschi Asset Management, a primary Italian investment firm based in
Milan, is looking for junior/senior analysts/developers to help developing
quantitative asset allocation tools in a dedicated team.

*The Role*
- You will be charged with the actual hands-on implementation of asset
allocation models
- You will help deliver asset allocations tools in a web-based environment
cooperating with the Application Development Team

*Your Profile*
The candidates must have:
- Strong academic Mathematics, Science or Economics background
- Understanding of asset allocation models (Markowitz, CAPM, APT,
Black-Litterman, etc.)
- 2+ years of work experience in the financial industry (investment
bank/trading desk/asset management/hedge fund)

Sound knowledge of R/S-Plus will be a big advantage; any of the following
will be an asset:
- Good programming skills in MatLab
- Good programming skills in Excel/VBA
- Working knowledge of Bloomberg, DataStream
- Working knowledge of SQL databases

To apply please send your resume to
fer...@mp...<fer...@mp...?subject=3DWilmott=
>
The email subject should read "Asset Allocation Quant" *
*

Ferdinando Ametrano
Monte Paschi Asset Management
Via S. Vittore 37
20123 Milano - Italy

[Quantlib-jobs] .Net Quantitative Developer (Philadelphia)

[Joe S. <js...@ch...>]

Chatham Financial

Chatham Financial is a 100 person company based outside of Philadelphia, =
with offices in London and Denver.  Our company acts as an advisor to =
over 450 corporate, institutional, and private investors in the areas of =
interest rate and currency risk management and debt capital markets.  In =
this capacity, during the past 12 months we have managed over 3,400 =
transactions on more than $140 billion in hedged principal. =20

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Chatham's core market focus is with commercial real estate investors, =
private equity firms, and mid-cap financial institutions.  Our clients =
include the majority of the largest real estate investors in the world =
and a fast growing number of private equity firms, including The Carlyle =
Group, CSFB, Goldman Sachs, Morgan Stanley, Apollo, Blackstone Group, =
Equity Office Properties, and Simon Properties.  We also work very =
closely with a rapidly growing number of regional banks like Zions Bank =
Corp., BB&T, and Commerce Bank (NJ).  With these markets now well =
established, we are developing a series of new market entry strategies.  =


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Chatham was founded in 1991 and has grown very rapidly irrespective of =
external market conditions.  During the past six years Chatham has =
experienced steady 30-50% growth each year.  Needless to say, rapid =
growth in a small team environment makes our work a lot of fun. =20

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What make our company distinctive, however, are our unique culture and =
core values.  Chatham acts as a highly trusted advisor to the treasurers =
and CFO's of our clients' companies.  In most cases we successfully =
achieve our objective of becoming our clients' "financial engineering =
team down the hall".  We truly become a part of their team - an =
extension of the finance department.  To accomplish this, client trust =
is absolutely critical, and we have worked since our founding to =
establish that trust and credibility in the marketplace and with every =
member of our clients' staff.  Because nearly all of our staff works =
directly with our clients, every member of our team has to be completely =
trustworthy, have personal ethical standards that are absolutely beyond =
reproach, and be a GREAT team player, because no one ever knows all the =
answers.

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Requirements

The team that we have assembled meets these requirements in every way, =
and we are looking to expand by hiring a select group of people who =
match our culture and can make a significant impact over the long term.  =
We are looking for people who want to make capital markets their career =
and have consistently demonstrated drive, determination, and substantial =
academic/professional accomplishment throughout their lives.  Needless =
to say, working with derivative instruments requires excellent =
quantitative skills as well.  Finally, turnover at Chatham is purposely =
very low (we do not have an "up or out" policy).  We make a large =
investment in our employees and we are looking for individuals who want =
to make a long-term commitment to the company.

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The Role

This individual will be part of the Pricing and Analytics Group, which =
is responsible for pricing derivative instruments, and performing =
various financial analyses.  This individual's responsibilities will =
include:

=A7         Designing and implementing quantitative financial models in =
an object oriented environment (we primarily use .Net).=20

=A7         Architecting our financial object models including the =
application of design patterns where appropriate.

=A7         Porting and refactoring legacy models from Excel and VB6 to =
.Net

=A7         Interacting on a semi-regular basis with both technical and =
non-technical divisions within the company, with the goal of providing =
highly effective internal tools to meet the functional needs of our =
clients.=20

=A7         Be responsible for all tiers of our multi-tiered =
applications.=20

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Qualifications

Prior programming experience in quantitative finance is necessary.  We =
especially value those who have experience in architecting financial =
software.  Experience in .Net is desirable but not required.=20

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Contact:

Joe Siu (js...@ch...)

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[Quantlib-jobs] Model Validation - London

[Olga A. <oal...@ho...>]

We are looking for a person to work in our Model Validation team (mostly 
Fixed Income products).
The job is in London.

Send me CV if interested,
regards,
Olga.

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[Quantlib-jobs] Homework problems involving Chinese currency

[Joseph W. <jo...@co...>]

Now that the renminbi has been de-pegged from the dollar, let me suggest 
some homework problems which might be possible using quantlib :-) :-) :-)

1)  Chinese currency is now fixed to a secret basket of currency.  
Derive a model which allows you to figure out what that secret basket of 
currencies is.  It should be a simple matrix inversion problem, but the 
problem is that if you have small time series, then you get a singular 
matrix.  If you have long time series, you end up with the possibility 
that the basket mix is changing.  So there it becomes an interesting 
signal processing.  This model becomes especially useful if it can throw 
up a red flag (pun intended) if the currency mix has changed.

2) Using the model in 1) derive a model for that predicts the future 
value of the RMB.  The easy part is to simulate assuming log-normal 
behavior in the currency basket values.  The hard part is the model the 
fact that the rules of the game are made by the People's Bank of China 
and they can change them.

3) Identify clever profit opportunities using some of the details of the 
rules of the new scheme.  For example, the RMB is to be revalued once a 
day.   You could use the model you develop in step 1) to arbitrage 
intra-day fluctuations in the basket of currencies.  Also the rule that 
the currency is going to only fluctuate within 0.3% of the previous days 
value is "interesting"

4) Using 2), develop derivative securities that will let you hedge or 
speculate on the value of the RMB.  Price that security.  You must take 
into account capital controls in and out of the PRC.  These securities 
will likely be akin to Non-deliverable swaps and non-deliverable forwards.

Example: Create a clever barrier option that separates out the risk due 
to "normal" currency fluctuations from the risk due to PBC intervention.

5) Create a models that:

5a) take into account correlations between the RMB and other 
currencies.  Figure out ways of time arbitrage
5b) take into account correlations between the RMB-US exchange rates and 
interest rates both in US treasuries and in PRC domestic interest rates

6) Comment on the public policy big picture consequences of the above.  
Identify feedback cycles which are potentially destablizing to the world 
economic system.

I'll be working on 1-6 in my spare time over the next few weeks.  The 
reason that I'm posting to quantlib-jobs is that on my list of homework 
problems is

7) Convince someone that it is worth paying me to work on problems 1 to 
6.... :-) :-) :-) :-)

[Quantlib-jobs] Job Posting

[Jim V. <jva...@e-...>]

Successful High Frequency Strategy Quant

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Major NYC based Investment Bank is looking for a quantitative PhD to
model and develop strategies for High Frequency Trading. As member of an
Electronic Trading Research Team, responsibilities will involve
researching the microstructure of markets and developing automatic
pricing and trading capabilities. The work will involve mining intra day
data on prices, volatility and liquidity to model and predict short-term
market behavior/opportunities. Applicant should have a PhD Degree in a
quantitative discipline emphasizing signal processing, stochastic
control, prediction, pattern recognition, machine learning and/or
dynamical systems. Strong computer skills are a must. Industry or
Academic research experience in modeling market dynamics or pattern
recognition for high-frequency data highly desired.

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Further information about this opportunity (as well as innumerable
others)=20

is available online at: http://www.quantster.com
<http://www.quantster.com/>=20

=20

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Jim Varriale

Executive Recruiter

Objective Solutions International

535 Fifth Avenue - Floor 19

212-885-0700  x502

www.quantster.com <http://www.quantster.com>=20

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