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| The Financial Modelers' Manifesto |
| Emanuel Derman and Paul Wilmott |
757 Views |
| A spectre is haunting Markets - the spectre of illiquidity, frozen credit, and the failure of financial models. Beginning with the 2007 collapse in subprime mortgages, financial markets have shifted to new regimes characterized by violent movements, epidemics of contagion from market to market, and almost unimaginable anomalies (who would have ever thought that swap spreads to Treasuries could go negative?). Familiar valuation models have become increasingly unreliable. Where is the risk manager that has not ascribed his losses to a once-in-a-century tsunami? To this end, we have assembled in New York City and written the following manifesto. |
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| Quantitative Developer - Energy Structuring Group - PF739 |
Quantitative Developer - Energy Structuring Group
My client is a leading energy trading group with a position in the London structuring group for a quantitative developer. The position will involve working closely with the structures, traders and quantitative analysts. A large part of the job will focus on constructing bespoke models to represent physical assets such as gas storage units, hydro-electric dams, coal/oil/gas power plants. These models are used to model economic efficiency and they are integrated into the risk management system.
Projects will focus on building a custom pricing and risk system for managing complex energy products. This will involve: -
Development of new models as the need arises.
Identifying the main cause of risk and developing price processes, which can capture those risks while retaining consistency within the market.
Designing and implementing tools to optimise exercise decisions for the complex instruments that we manage, and to describe their inherent risks.
Experience required: -
Three years experience in a quantitative environment, preferably within the area of derivatives trading where mathematics is used on a daily basis.
Will ideally have a degree in maths, physics or some other science/engineering.
Technical requirements:-
Expert developer using C++ or Java.
Strong maths skills. P.D.E.s, non-linear optimisation, probability and measure theory, Stochastic Calculus.
Unix / Linux
Open source tools (Subversion / Eclipse).
Willing to use new languages as and when required (Scala/Ruby
Beneficial (require at least one of the following):
Knowledge of finance theory/option pricing/energy market
Knowledge of grid computing and distributed processing
Knowledge of multi-threaded development in Java or C++.
Knowledge of a wider range of computer languages, in particular Lisp/Scheme, would be an advantage.
James Kennedy
Pathway Banking and Finance
+ 44 (0)207 758 7222
mailto: j.kennedy@pathwayresourcing.com
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