• +Bonus
  • San Francisco, CA, USA
  • Permanent, Full time
  • Selby Jennings Structuring
  • 2018-10-09

Fixed Income Quantitative Analyst

  • Location: San Francisco, CA, USA
  • Salary: +Bonus
  • Job Type: Full time

The head of a quants at a major financial institution in the Bay area has just undertaken a greenfield initiative to add quantitative methods to a high performing business portfolio within the organization. Due to the green field aspect of this initiative, you will be tasked with 360 model development and implementation of the models but also a significant amount of industry research.

Summary for Fixed Income Quant

The head of a quantitative analyst at a major financial institution in the San Francisco Bay area has just undertaken a greenfield initiative to add quantitative methods to a high performing business portfolio within the organization. Due to the green field aspect of this initiative, you will be tasked with 360 model development and implementation of the models but also a significant amount of industry research.

Given the nature of the position, they are ideally targeting idea generators and candidates that have worked in a Front Office Fixed Income derivative pricing team.

Responsibilities of Front Office Fixed Income Quant

  • Conduct industry research and idea generation for new fixed income trading strategies

  • Develop and implement new fixed income derivative pricing models in C++.

  • Maintain pricing models that enable hedging of multi-callable range accrual swap, inverse/capped floater based on PDE/MC

  • Manage portfolio risk by testing and deploying the new strategies.

Qualification for Front Office Fixed Income Quantitative Analyst

  • Applied experience working on a Front Office Fixed Income team

  • Ph.D in a Quantitative discipline (Physics, Mathematics, Statistics, Computer Science, etc.)

  • Strong Object Oriented Programming skills (C++)

  • Expertise in Monte Carlo Simulation, Stochastic Calculus & Partial Differential Equations.

  • Perfect written and verbal communication

If interested please apply below with an updated resume and a member of the team will reach out.