Quantitative Strategist

1 week ago


hong kong, Hong Kong SAR China Kingfisher HR Solutions Group Full time

Key Responsibilities Design, implement, and calibrate pricing models across Rates, Fx & Commodities asset classes Enhance existing models such as stochastic rates (Hull-White, LMM), FX local/stochastic volatility (Heston, SABR), and commodity curve dynamics (mean-reverting jumps, seasonal adjustments). Develop hybrid models for cross-asset structures, e.g., FX-linked inflation swaps and commodity–interest rate hybrids. Build scenario analysis tools to assess tail risks (e.g., yield curve inversions, commodity market squeezes). Compute and optimize valuation adjustments (CVA, FVA, MVA) across derivative portfolios. Develop real-time Greeks calculators and P&L attribution tools to support trading desks. Infrastructure & Automation Improve model performance using GPU acceleration (CUDA) and parallel computing techniques. Integrate quantitative models into the bank’s pricing and risk infrastructure (Python/C++ libraries, Excel-based tools). Automate curve construction and volatility surface calibration processes. Requirements Education: MSc/PhD in Quantitative Finance, Math, Physics, or Engineering. Technical Skills: Programming: Expert-level Python (NumPy, pandas) and C++ (modern standards). Modeling: Deep knowledge of SDEs, PDEs, Monte Carlo, and Fourier methods. Products: Hands-on experience with Fx, Rates & Commodities products Seniority level Mid-Senior level Employment type Full-time Job function Analyst Industries Investment Banking Location: Wan Chai District, Hong Kong SAR #J-18808-Ljbffr



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