Rates & Hybrids Model Quant – Assoc/VP level

  • Competitive
  • London, England, United Kingdom
  • Permanent, Full time
  • Anson McCade
  • 14 Dec 17 2017-12-14

Job Summary: My client is seeking someone to join the Quantitative Research team focused on Interest Rates and/or Rates Hybrids modelling. Relevant education would be in the area of Financial Mathematics, with focus on IR and hybrids models and programming. You will be expected to share in a balanced mixture of responsibilities, including model research and development, model documentation, pricing and risk investigation, product-specific analysis, software development and discussions with the trading desk.

Rates & Hybrids Model Quant – Assoc/VP level

London based

Job Summary:

My client is seeking someone to join the Quantitative Research team focused on Interest Rates and/or Rates Hybrids modelling. Relevant education would be in the area of Financial Mathematics, with focus on IR and hybrids models and programming. You will be expected to share in a balanced mixture of responsibilities, including model research and development, model documentation, pricing and risk investigation, product-specific analysis, software development and discussions with the trading desk.

Core Responsibilities:

  • Develop models and implement them in C++ for pricing and risk managing derivatives.
  • Rapid prototyping of models and products; benchmark and compare results of various techniques.
  • Explain model behavior and predictions to traders and controllers, identify major sources of risk in portfolios, carry out scenario analysis, provide guidance / debug analytics.
  • Write well-formulated documents of model specification and implementation testing.

Essential skills, experience and qualifications:

  • Strong software development and C++ skills.
  • Strong analytical and problem solving abilities.
  • Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis.
  • Good communication skills, both oral and written.
  • PhD or equivalent degree from top tier schools/programs in Mathematics, Mathematical Finance, Physics or Engineering.

Desirable skills / experience:

  • Python; knowledge of financial products.