Position: Business / Quantitative Analyst
Company: EPAM
Category: Business Analyst
Experience required: 3y
English level: upper
Published: 2020-01-01T00:00:00+02:00

The company empowers its’ clients to make smarter and more sustainable investments, drives market transparency and helps preventing financial crime. Serving more than 40,000 institutions in over 190 countries, it provides information, insights, and technology that enable innovation and performance in global markets. By advancing its customers, the company encourages progress for the worldwide financial community.

The company equips the financial community with access to an open platform that uncovers opportunity and catalyzes change. With a dynamic combination of data, insights, technology, and news from different sources, its customers can access solutions for every challenge, including a breadth of applications, tools, and content—all supported by human expertise.

In the context of high demand for commodities products, we are looking for a Quantitative Engineer do enhance the quantitative libraries for 2 company`s products.
RESPONSIBILITIES
Enhance models, increase commodities derivatives pricing coverage and deliver an API that will be used in the context of Quantitative Pricing Services on Platform’s Data Solution on public cloud
Provide model validation service for a wide range of financial instruments including bonds, futures, swaps, equities, commodities, FX instruments, deposits, mortgages, counterpart default swaps etc
REQUIREMENTS
Strong understanding of financial instruments:
Bonds, options, futures
Swaps
Equity-linked; rate-linked; FX-related instruments
Baskets and packages
Commodities
Mortgages
Understanding of pricing for financial markets including sensitivities
Understanding or awareness of approaches and data required for financial instruments pricing:
Black Sholes model
Monte Carlo
Hull White
SABR
Understanding of types of market data applied for pricing financial instruments:
Curves & surfaces
Volatilities
Confident knowledge of Excel for prototyping
Expertise in one of the following programming languages for wide coverage tests: Python, F#, VBA
Upper-Intermediate level of written English (B2+)