My client is looking for an experienced Quant to join their Front Office Interest Rates team. You will report to the regional head of the rates quant group, working closely with senior traders, structurers, and sales to develop models, risk measures and trade ideas for all product types, including flow, vanilla, and exotics.
- Maintain the in-house multi-asset class pricing and risk library used across the bank, for all types of products, including flow, vanilla, and exotics.
- Improve existing and implement new models for the pricing and risk management of interest rates products.
- Produce analytics documentation and test material.
- Provide day-to-day support for all relevant business units.
- Strong academic qualifications in a quantitative subject (e.g. Financial Mathematics).
- Experience in interest rates modelling.
- Good C++ programming.
- Knowledge of functional programming (e.g. Haskell) is a plus.
- Good knowledge of numerical methods, stochastic calculus, and probability.
- Good communication skills (verbal and written English).