Senior Quantitative Developer - Interest Rate Pricing Models

Job Description

• The quant team is responsible for providing valuation and risk calculations for all products traded by the firm (primarily rates, foreign exchange and credit) across a variety of applications. The team is implementing a new quantitative analytics library and are looking for an individual to drive the technology.

• Quantitative Modeling: Expand product and market coverage to address evolving client needs by researching, implementing and rolling out new rates models.

• Analytical Support: Maintain existing models, interact with client portfolio managers, traders and risk managers.

• Test models and explain any differences with expected results

• Document all changes and prepare submission packages for MRMG’s review

• Respond to feedback from MRMG and adjust submission packages accordingly as appropriate”

Qualifications

• 5+ years of quantitative model development experience using Python

• A Degree in a Quantitative Field:

• Experience in interest rates derivatives (swap, swaptions, CMS spread options, midcurves, etc) and modeling (short rate, Libor Market Model)

• Exposure to curve building and stochastic volatility models.

• Expertise in stochastic calculus and numerical methods such as Monte-Carlo simulation, finite difference schemes.

Additional Information

Compensation -   120-140K

Benefits:

• Work from home opportunities
• Extended health care
• Dental care
• Life insurance