Quant jobs / Société Générale

Model Validation Intern – Stochastic Dividend / Local Correlation (Equity)

A six-month internship in the pricing model validation team, equity sub-team, which sits inside the bank's Risk department. The team independently checks the pricing models that front office builds for vanilla and exotic derivatives.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Test the local correlation model in the validation team's pricing library against market volatility and correlation skew
Study how different methods for forcing a valid (positive semi-definite) correlation matrix affect calibration quality and run time
Improve the numerical methods used in the calibration of the multi-asset local volatility setup
Compare Greeks from your own implementation with production Greeks on exotic equity products and explain differences

What they ask for

Required

Python at a confident level
Local volatility (Dupire) and multi-asset equity models
Correlation matrices and positive semi-definiteness
Numerical methods and model calibration
Derivatives pricing and Greeks
Rigour and organisation

Preferred

First experience in market finance

Education: Final-year engineering school student (Bac+5) specialising in finance or financial mathematics
Experience: Students; no prior experience required, though some market finance exposure is a plus
Languages and tools: Python
Markets: equities, options

How to prepare

Implement Dupire local volatility from an option price surface in Python and check it reprices vanillas
Learn how a correlation matrix becomes invalid and try nearest-correlation methods such as eigenvalue clipping and Higham's algorithm
Simulate a basket option by Monte Carlo under constant correlation and see how skew in correlation changes its price
Compute Greeks by bump-and-revalue and pathwise methods and practise explaining why two Greek estimates differ
Read about the purpose of model validation: benchmarking, limitations, and documenting model risk

What to study

The Model Validation Quant roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

Read the full posting on Société Générale’s site before applying: requirements, location and pay can change after we check them.

View the posting on Société Générale’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Société Générale and doesn’t handle applications.