Key Responsibilities:
Pricing & Model Development
- Design, implement, and calibrate pricing models for Rates (swaptions, inflation, exotics), FX (barriers, accumulators), and Commodities (oil, gas, power derivatives).
- Enhance existing models for stochastic rates (e.g., Hull-White, LMM), FX local/stochastic vol (e.g., Heston, SABR), and commodity curve dynamics (mean-reverting jumps, seasonal adjustments).
- Develop hybrid models for cross-asset products (e.g., FX-linked inflation swaps, commodity-IR hybrids).
Risk Analytics & Trading Support
- Implement scenario analysis tools for tail risks (e.g., yield curve inversions, commodity squeezes).
- Compute and optimize XVA adjustments (CVA, FVA, MVA) for derivative portfolios.
- Build real-time Greeks calculators and P&L explain tools for traders.
Infrastructure & Automation
- Optimize model performance via GPU acceleration (CUDA) or parallel computing.
- Integrate models into the banks pricing/risk stack (Python/C++ libraries, Excel interfaces).
- Automate curve construction and volatility surface calibration.