Exotic OTC Rates-Derivatives Desk Quant

  • Competitive
  • Boston, MA, USA
  • Permanent, Full time
  • Analytic Recruiting Inc.
  • 06 Jul 17

Boston based Fixed Income/Credit Hedge Fund is looking to add an experienced Exotic Derivative Desk Quant who can develop analytics libraries in C++ or C#, has Python skills, strong data base skills and who has experience implementing these applications with the firms infrastructure team. The role is part of the firm’s portfolio management team.

Responsibilities:

  • Build and Implement Trading tools and Risk Analytics applications
  • Build data bases for quantitative models
  • Will work on P&L, Portfolio Management and Risk applications
  • Will develop OTC valuation models for pricing complex options and swaps
  • Will work on FVA- measuring trade profitability and the impact of funding and liquidity on the cost of a trade. 

Requirements:

  • Ideal Candidate will have experience working on an Exotics Rate Desk as a desk quant
  • Ideal candidate will have deep knowledge of OTC Derivatives (Rates, FX, Equity)
  • Must have strong quantitative programming skills in some Object Orientated Language such as C#, Java and/or Python
  • Must have advanced SQL and database architecture skills
  • Must have advanced Excel and VBA skills
  • Must have proven working experience and in-depth knowledge of: Correlation Swaps, Equity Options, FX Forwards, Futures, Interest Rate Swaps, Swaptions and Variance Swaps
  • Must have experience building and using derivative valuation models
  • Nice to have: Front end development experience: HTML, CSS, JavaScript
  • Must have a quantitative degree in CS, Physics, Math, Finance or Stats and 2-3 years of experience working on derivatives trading technology

Key Words: OTC Derivatives, Exotic Derivatives Desk Quant, Interest Rate Derivatives, Exotics, Credit Derivatives, time series, Fixed Income

Please send resume to Jim Geiger:  jeg@analyticrecruiting.com