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| Finformatics: Samurai GARCHkillers: Wilmott Magazine Article |
| Kent Osband |
1124 Views |
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In which the ubiquity of GARCH gets a swift
Katana to the Bento box. Having long admired Julius Irving's abilities as a
basketball player, the world was even more impressed to discover his
talents as a novelist. The World According to GARCH, written in 1978, was
an instant bestseller; and the screen version in 1982 was just as popular.
Soon economics departments joined in, adapting GARCH to their purposes. It
is now the favored technique for estimating the volatility of financial
time series. But I think things have gotten way out of hand.
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| Quantitative Analyst STIR - Tier One Bank |
Quantitative Analyst STIR - Tier One Bank
Summary:
My client is a Top Tier Investment bank with a global presence. They are currently looking for an experienced quant with extensive knowledge of Interest Rate products, FRAs, OIS, futures and options. The role will involve validation of models for pricing, valuation and risk management. The ability to communicate with senior staff and other business areas will be essential. The candidate must have an extremely strong mathematical background (preferably a PhD) and be very proficient in financial modelling. Past experience must include significant exposure to a similar role in a top tier investment bank.
Requirements:
* Strong background in financial mathematics
* PhD in a quantitative discipline (Maths, Finance, Physics) or a 1st Class MSc Degree in Financial Mathematics or equivalent Strong analytical skills & proven ability to solve problems independently
* Advanced Excel and VBA and C++ skills
* Knowledge of Stochastic Calculus, PDE's, Probability Theory, Derivative Pricing Theory and Interest Rate/Hybrid Models
* Excellent communication skills
* Excellent written and verbal skills
* Ability to work on a trading floor with direct interaction with senior traders and management
* Willingness to travel
Please contact Simeon Ramsden, Senior Consultant, Nicholas Scott Intl Ltd.
Email: simeon@nicholas-scott.com |
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