What are the responsibilities and job description for the Fixed-Income Quantitative Modeller position at First Soft Solutions LLC?
We are actively hiring for Quantitative Investment Developer C
Remote
Experience required : 17
Key Responsibilities
Remote
Experience required : 17
Key Responsibilities
- Designing and implementing mathematical models for pricing financial derivatives.
- Developing risk models for portfolio management, VaR (Value-at-Risk), and stress testing.
- Writing C code to prototype and implement financial models.
- Calibrating models to market data and ensuring statistical robustness.
- Working closely with traders, portfolio managers, and quant developers to translate models into trading strategies.
- Applying stochastic calculus, numerical methods, and PDEs for pricing complex derivatives.
- Strong C & Python for model implementation and data analysis.
- Mathematics & Finance: Stochastic processes, probability, linear algebra, and option pricing (Black-Scholes, Heston, SABR).
- Numerical Methods: Monte Carlo simulation, PDE solvers, finite difference methods (FDM), finite element methods (FEM).
- Data Science & Machine Learning (optional): Applying ML for signal detection in trading.
- Statistics & Optimization: Kalman filtering, regression models, convex optimization.
- Focus: Mathematical modeling and developing pricing/risk models.
