Full-Time Senior Quantitative Developer - Fixed Income

Quant Team: Provides valuation and risk calculations for products (rates, foreign exchange, credit).

Implementation: Implementing a new quantitative analytics library.

Quantitative Modeling:

• Expand product and market coverage by researching, implementing, and rolling out new rates models.

Analytical Support:

• Maintain existing models.
• Interact with clients, portfolio managers, traders, and risk managers.
• Test models and explain any differences with expected results.

Requirements:

• Experience: 5+ years of quantitative model development experience using Python.
• Education: Degree in a Quantitative Field.
• Expertise: Bonds, interest rates derivatives (swaps, swaptions, CMS spread options, midcurves, etc), and modeling (short rate, Libor Market Model).
• Skills: Exposure to curve building and stochastic volatility models, stochastic calculus, numerical methods (Monte-Carlo simulation, finite difference schemes).

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