STAGE 3A – PES – Consultant Financial Engineering H/F: Validation of the Equity Autocall
Murex S.A.S
Paris
Internship
Murex is a global fintech leader in trading, risk management and processing solutions for capital markets.
Operating from our 19 offices, 2700 Murexians from over 60 different nationalities ensure the development, implementation and support of our platform which is used by banks, asset managers, corporations and utilities, across the world.
Join Murex and work on the challenges of an industry at the forefront of innovation and thrive in a people-centric environment.
You’ll be part of one global team where you can learn fast and stay true to yourself.
Internship – Consultant Financial Engineering H/F: Validation of the Equity Autocall under Stochastic-Local Volatility model
Your team :
You will become a part of the Front Office (FO) Trading Product Development Domain (PDD) which is at the heart of MX.3 software evolution, where you will integrate the Financial Engineering team. Our multi-cultural team designs, validates and delivers Murex Advanced Analytics (MACS) which is a combination of a rich catalogue of derivative products covering all asset classes, and a large set of models for evaluation and risk management of derivatives.
We work closely with the quant development and integration teams to enhance our products and models. We provide our quantitative expertise and collaborate with FO Trading PDD teams like Equity Derivatives, NonLinear Rates, Foreign Exchange Derivatives, Commodity Derivatives, etc. to build trading solutions. Similarly, we assist Client Services and regional offices across the globe to provide cutting-edge solutions to our clients.
Your missions :
Murex proposes a Stochastic Local Volatility (SLV) model which is a combination of Stochastic Volatility and Local Volatility models allowing to combine strong suits of both models i.e., rich dynamic and more suitable for pricing of the forward start options; and the ability to match the vanilla options.
Equity Autocalls are one of the most popular exotic payoffs which have historically been traded using the Local Volatility model, but the market standard is shifting towards the SLV models.
The objective of the internship is to provide a validation report to demonstrate the properties of the SLV model applied to Equity Autocalls and to reassure our clients of the quality of our implementation.
Under supervision of the Front Office Financial Engineering team, you will:
- Validate the model integration in the MX.3 platform
- Analyze the model calibration quality
- Replicate the model risk profile and compare it to the LV model
- Study the model convergence to recommend the model settings
- Validate the model robustness in the VaR risk scenarios
- Analyze the model performance
- Validate that the overhedge techniques work well with the SLV mode
Your profile:
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You are in the last year of a master’s degree looking for a 6-months internship
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You are passionate about technology and financial mathematics
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Strong academic background in a quantitative field (Computer Science, Engineering, Physics, Mathematics)
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Understanding of stochastic processes and financial mathematics
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You master python including numpy, pandas, matplotlib
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You can efficiently communicate in multicultural environment: English is a must
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You have strong analytical and problem-solving skills