Internship Offer Finance Improve FX risk for commodity derivatives. murex Financial Engineering, Mathematical Finance, Financial IT, Quantitative Finance.Use the "Print" option on your web browser to print this ad.
Improve FX risk for commodity derivatives.
Murex is a software company established in 1986 and specialized in provision of integrated front to back office financial software across the majority of physical and derivative assets, including but not limited to Foreign Exchange, Interest rates, Equities, Commodities and Credit derivatives.
Murex systems equip trading rooms of approaching 100 major financial institutions worldwide, and London constitutes the largest user concentration (with clients such as ABN-AMRO, HSBC, J.P. Morgan Chase, etc.).
Mission:
Among commodity derivatives available on the markets are multi-currency contracts whereby cash flows or stocks are denominated in another currency than the quotation currency of the asset.
As such the expected future value of these contracts is sensitive to the prices of the asset as well as the exchange rate, a.k.a. the FX rate, between the involved currencies.
The object of the internship will be to contribute for a class of mono-asset payoffs to the following tasks:
-Validate the FX risk in the various screens of the Murex simulation module; a special focus should be given to the identification of consistency tests across the types of contract, for example a non USD forward contract on Oil prices should give similar outputs than a one-day ‘bullet' swap on the same underlying asset. The same result holds between simple options and average options,
-Enrich the library of user documentation articles with adaptation formulas illustrated with numerical examples inferred from concrete business cases,
-Design and insert new test cases in the quality assurance environment.
Profile required:
Final year Engineering School/Business School/University student with a particular interest in financial market and information systems.
A good background in financial mathematics is required. Programming skills would be helpful.
A excellent working knowledge of English (written and spoken) and an international approach are prerequisites for this internship.
Date and Duration: Internship for 6 months considered, beginning February/march 2009.
Please send your resume and cover letter quoting reference SMFC/COM1/09 either by email ("apply by email") or by filling our application form at:
www.murex.com/careers.php
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.
