Stage 3A - Ingénieur quantitatif - "Rough" Volatility & VIX Options H/F

Job ID:  39481
Location:  PARIS (FRA)


Murex is a global fintech leader in trading, risk management, and processing solutions for capital markets. Operating from our 19 offices, 2,500 Murexians from over 60 different nationalities ensure the development, implementation, and support of the MX.3 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 MACS (Murex AnalytiCS) modelling team is responsible for the implementation of efficient and innovative evaluation methods and the computation of risk measures (Sensitivity computations, VaR, PFE, XVA...) for financial products (from vanillas to the most exotic ones). It is a cross assets team (Equities, FX, Rates, Commodities and Credit) which understands, implements (calibration and financial evaluation) and maintains standard modelizations as well as more innovative ones to fit market needs.

MACS models can be used through a pricing library but are also exposed using a REST service. Particular care is put on producing accurate and reliable results in a timely manner, which leverages on modern technologies (ex: GPU computing) or adapted numerical methods.




« Rough » volatility models exhibit interesting characteristics to fit either equity or foreign exchange market smiles. They assume a new type of diffusion for the underlying volatility, which induces also important impacts on the valuation of derivatives on volatility or variance. The purpose of this internship is to analyze the impact of the different parameters of these “rough” volatility models both on the vanilla option smiles or VIX options smiles.
For this study we will mainly focus on the rough Heston model (with the potential addition of a local volatility component).

To complete this project you will successively:


  • Implement a Monte Carlo method adapted to rough volatility models to evaluate vanilla options as well as volatility or variance options.
  • Implement exact evaluation formulas for vanilla products and volatility / variance derivatives as well as approximative ones whose accuracy can then be validated.
  • Develop a first calibration strategy with a simplified model on the market smile and then analyze the fit of this smile and the generated smiles on volatility/variance derivatives.
  • Analyze the impact of adding of a local volatility component or of jumps.
    A particular focus will be put on the quality of the implementation and analysis as well as on the computation time.


Profile :


3rd year student in Computer Science / Financial engineering or Master Student in Mathematical Finance with:


  • Strong knowledge of quantitative finance
  • Good knowledge of C++ (knowledge of Python or of parallel computing would be a plus)
  • Interest in financial markets
  • Interest in software engineering, continuous integration, devops, etc...
  • French and english speaking
  • Ability to work in an agile and highly collaborative context