Sr. Analyst | BA Continuum India Pvt. Ltd.| Mumbai | 3 to 5 yrs

[Swarandeep Singh,NSIT,Delhi University]

Hi All

Those interested may send their resumes to Neha Sonkar at neha....@bankofamerica.com

Thanks

Swaran

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Job Description

• Individual will perform as a contributing member in
  
• Designing and Implementing models/methods/products in the legacy software
  
• Creating and implementing tests to validate risk management frameworks for exotic equity derivatives
  
• Contribute towards debugging and implementation of risk management frameworks
  
• Understand business requirements and translate those into deliverables.
  
• Identify and eliminate possible obstacles and identify alternative solutions
  
• Effectively communicate business, technical and product information at all levels
  

Desired Candidate Profile

• Minimum of 3 years of development experience is a must, esp. in C++, Python, Excel/VBA, and Structured Query Language (SQL). Knowledge of Standard Template Library (STL) and Data Structures is a must.
  
• Strong Quantitative skills. Knowledge of following is compulsory:
  
• Stochastic calculus (Markov processes, Itos lemma, Martingales etc.)
  
• Differential Equations (Stochastic Differential Equations, Partial Differential Equations)
  
• Time series Analysis
  
• Probability theory
  
• Numerical Methods (Finite Difference etc.). Control Variates. Monte Carlo Simulation
  
• Knowledge of Quantitative Finance is compulsory including:
  
• Vanilla and Exotic Derivative Products (Options, Futures, Swaps, Exotics such as Cliquets, Rainbows, Cappuccinos/ Stellars, Share Repurchases, Timer Options, Variance Swaps)
  
• Models (Single factor, Multi factor, Mean Reverting etc) such as:
  
• Local Beta
  
• Hull-White Local Volatility 2 Dimensional Partial Differential Equation (PDE)
  
• Markov Functional
  
• Uncertain Volatility
  
• Black Scholes
  
• Local Volatility
  
• Heston model
  
• Merton Jump Diffusion model
  
• Greeks (such as Volga, Vega, Gamma, Theta, Delta, etc.)
  
• Attention to details
  
• Willingness to learn
  
• Strong work ethic
  
• Strong Written and Oral Communication
  
• Team player
  

Desired Skills:

Speaking / presentation skills in a professional setting

 

Company Profile

BA Continuum India Pvt. Ltd. 

http://www.bankofamerica.com

At BA Continuum, employees are part of a diverse, global banking environment with best-in-class people, processes and practices. We belong to a globally admired brand which is one of the largest financial institutions in the world. We are responsible for core banking functions and consistently learn, contribute and grow.

-- 

Swarandeep Singh

Analyst,Financial Markets Advisory

BlackRock Solutions India Private Limited

ex-Students Placement Co-ordinator | Batch of 2011 | NSIT

LinkedIn : http://www.linkedin.com/in/swarandeepsingh