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Rates Vol Quant Researcher

Job LocationLondon
EducationNot Mentioned
SalaryCompetitive salary
IndustryNot Mentioned
Functional AreaNot Mentioned
Job TypePermanent , full-time

Job Description

They are looking to add an experienced Quantitative Researcher to their global fixed income modelling team. As a member of the team, you will collaborate directly with researchers and traders to develop and enhance the rates vol models. This is an opportunityfor you to build pricing and risk analytics libraries from scratch, as well as develop tools to improve systematic and discretionary rates vol trading. The ideal candidate will have deep knowledge of interest rates products, modern pricing techniques, andmodelling developments.Responsibilities:

  • Develop an interest rates volatility analytics library for pricing vanilla and light exotics products
  • Design and implement tools to support systematic trading of OTC derivate products, such as screeners, risk metrics, and defining risk scenarios
  • Integrate pricing models with data feeds and systematic trading strategies
  • Support post-trade risk and valuation
Qualifications:
  • 3-8 years of industry experience in interest rates options modeling in either a buy or sell side capacity
  • Advanced degree in a quantitative or related field required, PhD preferred
  • Proven knowledge of vanilla options, knowledge of light exotics such as CMS, swaps, swaptions, and futures
  • Strong programming skills in C++ preferred
  • Strong communication skills and the ability to collaborate with teammates globally
  • Solid analytical skills with a detail-oriented mindset

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