外資金融分析システムのフィナンシャルエンジニアの求人

●Write Requirements Definition (RD) and Product Specifications for vanilla and exotic Derivative products across FI/CC/INF/CR/EQ/FX.
●Work in conjunction with Sponsor Customer to specify new functionality.
●Work as liaison between Customers and Internal teams (Sales, Quantitative Research, Quantitative Development, and Integration Development).
●Design and perform FE testing on models (calibration and pricing) across FI/CC/INF/CR/EQ/FX on our Library (Excel/VBA), our Toolkit (C/C++), and our Portfolio (C#), and testing on model Greeks using Monte Carlo, etc.
●Design and perform QA testing on our products, including our Portfolio.
●Identify new business opportunities in the derivatives analytics space.
●Create/Maintain Excel templates based on our Application Engine as Excel Add-in.
●Provide consulting and professional services for clients using our products for integrated/independent pricing and risk analytics system.

●Masters degree (or foreign equivalent) in Mathematics, Finance, Financial Engineering, Computer Science, or related field.
●2 years of experience with Excel and VBA, C/C++/C# programming languages.
●Demonstrated knowledge of the following: derivativepricing models for both vanilla and exotic derivatives across FI/CC/INF/CR/EQ/FX; risk management techniques including parametric, historical, and Monte Carlo VaR, credit exposure, etc.; financial mathematics skills, including stochastic calculus, numerical methods for PDE, numerical linear algebra, real analysis and probability, Monte Carlo method, and time series analysis; and financial modeling, financial mathematics, or quantitative/engineering related research.
●Experience may be gained before, during, or after degree. Experience may be gained concurrently.
●English as well as Japanese MUST.