Associate - Rp7025008 Jobs

Job Duties: Associate with Goldman Sachs & Co. LLC in New York, New York. Utilize stochastic calculus, Monte Carlo simulations, numerical partial differential equations, and other computational methods to build pricing and risk managing models for derivative financial products. Implement pricing adjustments such as Stochastic Volatility, Stochastic Rate Model, for equity structured products such as Autocallables and Buy Below Markets to improve pricing and risk management. Perform profit and loss attribution and risk analysis based on models built to replicate dynamics of equity spot markets vs their volatility. Design and implement web-based platform for quoting and risk analyzing Equity Derivatives business; Build API to provide customized product pricing tool to external client. Implement calibration techniques to properly mark correlations between equity assets to correctly price multi-asset equity payoffs – the models are based on mathematical and statistical techniques. Develop volatility marking strategy for bespoke equity baskets by using optimizing techniques and as a result, build franchise in this business. Work side by side with trading, sales and conduct day-to-day support of pricing, risk systems and processes.
Job Requirements: Master’s degree (U.S. or equivalent) in Applied Mathematics, Quantitative Finance, Computational Finance, or a related quantitative field. One (1) year of experience in the job offered or in a related equity structured products desk strategist position. Prior experience must include one (1) year with the following: utilizing stochastic calculus and applying it to equity structured products, including to stochastic volatility sensitive products; utilizing foundational mathematical concepts, including continuity, differentiability, Taylor formulas, differential equations, integration, measure theory, linear algebra, discrete and continuous probabilities, Markov chains, linear regression; utilizing equity structured product models, such as Local Volatility, Stochastic Volatility, Stochastic Interest Rates, Credit, and funding models to price structured notes; utilizing Monte Carlo simulations, backward induction, and other numerical methods to solve partial differential equations; utilizing computer science skills, databases, and programming languages such as Java and MATLAB; working with object-oriented paradigms; working with the main design patterns in Java or another object-oriented language; working with the main data types in Java or another object-oriented language; and working with sorting algorithms, dynamic programming, graph algorithms, hash tables.
Salary Range: The expected annual base salary for this New York, New York, United States-based position is $115,000 - $180,000. In addition, you may be eligible for a discretionary bonus if you are an active employee as of fiscal year-end.
Benefits: Goldman Sachs is committed to providing our people with valuable and competitive benefits and wellness offerings, as it is a core part of providing a strong overall employee experience. A summary of these offerings, which are generally available to active, non-temporary, full-time and part-time US employees who work at least 20 hours per week, can be found here: https://www.goldmansachs.com/careers/discover/benefits-summary-US.pdf
©The Goldman Sachs Group, Inc., 2023. All rights reserved. Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Veteran/Sexual Orientation/Gender Identity.