For several British Investment Banks, Quanteam UK has been assigned to take part to LIBOR Programme, working closely with Front Office Rates & Credit quantitative teams.
The gradual decommissioning of the LIBOR benchmarks and their replacement by new Risk Free Rates has created the need for new products and models as well as a major rethink of the current ones.
As part of this acceleration, Quanteam has been required to work extensively on pricing of new products and the design and maintenance of the associated curves and volatility surfaces.
There is significant modelling as well as software design and development work, as existing frameworks will need adjustments to support the new paradigm.
In addition to this strategic project, we are asked to offer support to business activity encompassing Trading, Finance, Risk, regulatory projects and Capital Management.
The role involves development within the production in-house Quant Library code base in C++. You will have continuous interaction with the broader quant team, as well as FO Trading, Market Risk, Finance, Project management, Model Validation and IT.
- Strong product knowledge on linear and options rates products, knowledge of Inflation, Credit or FX would be a plus;
- Understanding of multi-tenor interest rate curve construction and CSA aware pricing;
- Understanding of stochastic volatility models and calibration of rates models;
- Strong analytical and numerical skills, including practical knowledge of stochastic calculus, and knowledge of implementing pricing analytics;
- Appreciation of computational requirements of pricing algorithms - basics of numerical PDE solvers, Monte-Carlo, early exercise by regression (e.g. Longstaff-Schwartz).
- 5y+ development experience in a large quant library within a major financial institution, with front office focus;
- Strong practical software engineering, extensive experience in C++, with strong capacity for abstraction, design skills, and appreciation of architecture of quant libraries.
- Exposure to Python as a data analysis tool.
- Post-graduate education (PhD, MSc or equivalent) in a highly quantitative subject (such as Maths / Financial Maths, Physics or Engineering) is required.
- Ability to communicate complex ideas with clarity;
- Dynamic attitude with an ability to easily switch from one task to another as priorities change, and continue to work in a collaborative way throughout;
- Strong attention to detail as accuracy is of essence;
- A team player.