Develop pricing and calibration tools. Benchmark and compare results of various techniques. Implement products using pricing engines and models. Explain model behaviour and predictions to traders, identify major sources of risk in portfolios, carry out scenario analyses, provide guidance/debug analytics. Rapid prototyping of models and products. Skills: PhD or equivalent degree from top tier schools/programs in Math, Math Finance, Physics or Engineering. Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis. Very strong analytical and problem solving abilities. C/C++ coding with emphasis on numerical methods. Good communication skills. Deep understanding of options pricing theory (i.e. quantitative models for pricing and hedging derivatives) a plus.