Murex - END-OF-STUDIES INTERNSHIP – Consultant financial engineering

Murex is a global fintech leader in trading, risk management and processing solutions for capital markets.

Operating from our 19 offices, 3 000 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.

The 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 Foreign Exchange Derivatives, Equity Derivatives, Non-Linear Rates, Commodity Derivatives to build trading solutions. Similarly, we assist Client Services and regional offices across the globe to provide cutting-edge solutions to our clients. 

The mission 

Murex proposes two different Stochastic Local Volatility (SLV) models which are 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 exotic derivatives; and the ability to match the vanilla options. 

One model is Murex first version of its SLV model, specifically suited for first-generation exotics whereas the most recent one and latest version is suitable for both first- and second-generation exotics. 

Each SLV model’s diffusion embed two different types of parameters: 

• Parameters that are dynamically calibrated to match the vanilla options at each movement of market data 

• Exogenous parameters must be calibrated to exotics market to properly trade and manage the risk of FX exotic derivatives.  

The objective of the internship is to focus on the latter, the model exogenous parameters, and explore different methodologies for the calibration of these parameters such as fitting liquid exotic market quotes or fitting the market implied smile dynamic. 

Under supervision of the Front Office Financial Engineering team, you will: 

• Learn about FX derivatives market, exotic payoffs and Murex stochastic local volatility models. 

• Explore different methodologies for the calibration of the model exogenous parameters. 

• Implement these methodologies in our payoff analytics web service using python. 

• Test and evaluate the pertinence of these methodologies on various markets (i.e. currency pairs).