FULL TIME—UBS: Quant Analyst/Developer (New York, NY)

FULL TIME—UBS: Quant Analyst/Developer (New York, NY)

Dear IEOR Students,

Your role

Does complex modeling excite you? Are you an innovative thinker? We’re looking for someone like that who can

– develop cutting edge models and algorithms for pricing and risk-management
– maintain existing modelling infrastructure, including tools, end-user application and source code libraries
– Research alternative, innovative technology and modelling approaches, and their practical development
– Interact with trading and structuring/sales desks to provide support to the front-office business

Your team

You’ll be working in the Quantitative Analytics team in New York which supports the global fx, rates and credit businesses. We develop and support the official valuation and risk models for derivatives, used for trading, risk management, and regulatory purposes. The focus of the position will be on interest rates, credit, inflation, and long-dated FX modelling for vanilla and lightly structured products.

Your experience and skills

You have:
– a Master's or PhD degree in a quantitative field (mathematics, physics, engineering, etc)
– Expertise in mathematical modelling of financial markets, with knowledge of the standard financial products, stochastic models and numeral methods (for both PDEs and Monte Carlo) in use in FRC.
– Expertise in modern C++ software development, including functional programming and object-oriented techniques.