Internship Bac+4

Il y a 3 mois

Paris, France Murex Temps plein

Murex is a global fintech leader in trading, risk management and processing solutions for capital markets.

Operating from our 19 offices, 3 000 Murexians from over 60 different nationalities ensure the development, implementation and support of our platform which is used by banks, asset managers, corporations and utilities, across the world.

Join Murex and work on the challenges of an industry at the forefront of innovation and thrive in a people-centric environment.

You’ll be part of one global team where you can learn fast and stay true to yourself.

Équipe:
L’équipe « MACS » est responsable de l’implémentation des méthodes d’évaluation innovantes et efficientes cross-assets (Action, Change, Matières Premières, Crédit et Taux). Cela comprend d’une part la compréhension des modèles standards et la conception éventuelle de nouvelles modélisations adaptées aux besoins du marché et d’autre part l’implémentation et la maintenance de solutions (librairie quantitative, service ) permettant la calibration des modèles et l’évaluation et le calcul des mesures de risque (sensibilités, VaR, PFE, XVA ) des différents produits financiers. Une attention toute particulière est portée sur la précision des différentes méthodes implémentées ainsi que sur l’optimisation des temps de calcul, ce qui nécessite d’adapter les solutions aux technologies les plus innovantes (GPU par exemple).

Missions:
En finance, les produits dérivées les plus simples et les plus liquides sont les options européennes. Sur les marchés listés, les cotations de ces produits sont faites en prix ou en volatilité implicite (volatilité à mettre dans la formule de Black & Scholes pour égaler le prix) pour un nombre réduit de maturités et de prix d'exercice (ou strike). Cependant pour des logiques de valorisations d'options non standard (en strike ou maturité) ou de calibrage de modèles de diffusion par exemple, nous avons besoin de pouvoir déterminer rapidement les prix ou volatilités implicites pour un continuum de strikes et maturités, de manière cohérente avec les cotations des options liquides et en garantissant la non-arbitrabilité (absence de possibilité de construire un portefeuille statique à coût nul et garantissant un gain non nul à l'avenir).

Différents types de méthode de détermination de cette fonction de volatilité implicite existent en pratique (qui peuvent être paramétriques, basées sur des modélisations ou des contraintes mathématiques, etc.) mais elles ne garantissent pas à la fois la rapidité et la non-arbitrabilité en maturité et strike.

Le but de ce stage est d'étudier les plus récentes approches proposées pour résoudre ce problème (à commencer par le SSVI) notamment sur les critères de match des options cotées et de non-arbitrabilité.

Une attention particulière sera portée à la stabilité des méthodes testées, leur rapidité d’exécution et leur performance sur des historiques récents ainsi que sur des conditions de marché plus extrêmes.

Profil:
- Étudiant en seconde année d’École d'Ingénieurs/Informatique.-
- Vous avez de bonnes connaissances en Python (des connaissances en C++ sont un plus).-
- Vous êtes intéressé par les marchés de capitaux et la modélisation d’actif financier.-
- Dynamique, rigoureux, et autonome, vous êtes capable de travailler dans un environnement agile.-
- Bonne communication orale et écrite en français et en anglais.Pourquoi nous rejoindre ?- En intégrant l’équipe MACS (Murex AnalytiCS), vous travaillerez sur un sujet stimulant et innovant.-
- Vous évoluerez dans une équipe motivée et engagée cross-assets et cross-technologie-
- Vous aurez à disposition si besoin les dernières technologies (GPU par exemple).-
- Vous évoluerez dans un environnement agile, international, multiculturel et en croissance.Durée : 3 mois

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