Derivatives Pricing Analyst

Derivatives Pricing Analyst opening in New York/Connecticut. Create and evaluate derivative product valuation techniques and provide analytical support for various asset classes and insurance products; work with and/or develop valuation models to enhance asset liability management strategies and provide support to the insurance business units as well as the Investment department. Responsibilities: Pricing interest rate derivatives and Mortgage Backed securities; assisting businesses with pricing derivatives embedded in insurance products; analyzing and recommending optimal derivative hedge strategies for liability management; exposure to a variety of insurance products and asset markets including credit, fixed income, mortgages, equities and currencies. Ideally (though not necessity) candidate will have Ph.D. in mathematics, physics, engineering, quantitative finance, econometrics or computer science and a minimum of 3 years experience working with various types of fixed income derivative valuation. Salary $open.