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Basic Requirements – Strong programming skills and ability to integrate models into existing analytical libraries and trading systems. – Several years (5+) experience pricing and modeling Exotic Credit Derivatives and/or Interest Rate Derivatives….
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Front Office FX and Interest Rates Quant Strategies Group – London My Client, a Tier 1 US Investment bank, who has a commanding presence in the Rates exotic space is looking to grow their front office quant analytical space and are looking for…
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Publication year: 2010Source: Journal of Financial Economics, In Press, Accepted Manuscript, Available online 10 February 2010Claus, Munk , Carsten, SørensenWe solve for optimal portfolios when interest rates and labor income are stochastic with the expected income growth being affine in the short-term interest rate in order to encompass business cycle variations in wages. [...]
Publication year: 2010Source: Journal of Financial Economics, In Press, Accepted Manuscript, Available online 10 February 2010John J., McConnell , Alessio, SarettoThe market for auction rate securities (ARS) made headlines during the second week of February 2008 when auctions at which the bonds’ interest rates reset experienced a wave of “failures.” Contrary to headlines [...]
A growing hedge fund in London is looking to start up an FX high frequency prop desk to expand from a successful equities trading business. The fund currently has 200mm AUM and is looking to grow exponentially across 2010. As such, they are looking…
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Front Office FX and Interest Rates Quant Strategies Group – London
My Client, a Tier 1 US Investment bank, who has a commanding presence in the Rates exotic space is looking to grow their front office quant analytical space and are looking for exceptional individuals who can make an immediate impact to the Desk. You [...]
A leading European Bank with a strong reputation in Fixed Income is looking for experienced quants in Interest Rates and Credit for their front office flow quant team.
Read the whole story on Quantitative Analytics Jobs: eFinancialCareers.co.uk.
Several good working paper have been found this week, hope you will also enjoy them.1, Quant Nugget 1: Square-Root Rule, Covariances and Ellipsoids: How to Analyze and Visualize the Propagation Law of Risk in a Multi-Dimensional Market, “How to analyze and visualize the propagation law of risk in a multi-dimensional market.”, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1548162;2, Variance Swap [...]
Risk Oversight and Analytics supporting the interest rate and credit-trading businesses a Global Arbitrage & Trading Group. Responsibilities: • Leadership role in overseeing these product areas and provide guidance and supervision for junior…
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Location: NewYorkURL: http://careers.bankofamerica.com
Description:
The Market Risk department consists of team members analyzing different aspects of market risk of the US and/or European Trading desks. Products include Interest Rates, Equities, Structured Credit Products, FX, High Yield Commodities, High Grade, ECP and Distressed Debt.
The team is involved in Risk Architecture, a division which embodies all quantitative disciplines [...]
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