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Quantitative Analyst Intern
il y a 4 semaines
Murex is a global fintech leader in trading, risk management and processing solutions for capital markets. Our team of 3,000 Murexians from over 60 different nationalities ensures the development, implementation and support of our platform, which is used by banks, asset managers, corporations and utilities across the world.
As a Quantitative Analyst Intern, you will be part of the Front Office Trading Product Development Domain (PDD), which is at the heart of MX.3 software evolution. You will integrate the Financial Engineering team, which designs, validates and delivers Murex Advanced Analytics (MACS). MACS is a combination of a rich catalogue of derivative products covering all asset classes, a large set of models for evaluation and risk management of derivatives.
We work closely with the quant development and integration teams to enhance our products and models. We provide our quantitative expertise and collaborate with FO Trading PDD teams like EQD, Non-Linear Rates, FXD, COM, etc. to build trading solutions. Similarly, we assist Client Services and regional offices across the globe to provide cutting-edge solutions to our clients.
As a Quantitative Analyst Intern, you will conduct the validation of the Gaussian Heath-Jarrow-Morton (HJM) 2-factor model for Bermuda swaptions under new market conditions. You will elaborate and execute a test strategy to:
- Validate theoretical model assumptions and assess the perimeter of their validity
- Validate accuracy and robustness of the calibration
- Validate pricing and calculation of model sensitivities
Additionally, you will study the impact of multi-factor modelling on the pricing of Bermuda swaptions, comparing the HJM 2F model against the Hull-White 1F model.
The ultimate deliverable of your mission is a model validation document summarizing the test results, as well as a list of model gaps and limitations. Validation activity will be mostly conducted via Murex Pricing API using Python for tests execution and visualization of results.
We are looking for a highly motivated and analytical individual with a strong academic background in a quantitative field (Computer Science, Engineering, Physics, Mathematics). You should have a good understanding of stochastic processes and financial mathematics, and be proficient in Python. You should also be able to efficiently communicate in a multicultural environment, with English being a must.
This is a 6-month internship opportunity for a student in their last year of a master's degree. If you are passionate about technology and financial mathematics, and are looking for a challenging and rewarding experience, we encourage you to apply.
