Quant Researcher - Rates Volatility Quant Researcher - Rates Volatility …

Millennium Management
in New York, NY, United States
Permanent, Full time
Last application, 02 Oct 19
Competitive
Millennium Management
in New York, NY, United States
Permanent, Full time
Last application, 02 Oct 19
Competitive
Quant Researcher - Rates Volatility
Quant Researcher - Rates Volatility

Millennium is a top tier global hedge fund with a strong commitment to leveraging innovations in technology and data science to solve complex problems for our business. We are assembling a strong Quant Technology team to build our next generation in-house analytics and trader support tools. This team is part of Fixed Income & Commodities Technology (FICT) and develops our in-house pricing libraries to support trading in Fixed Income, Commodities, Credit, and FX. FICT provides a dynamic and fast-paced environment with excellent growth opportunities.

Responsibilities:
  • Work closely with Quants in New York, Geneva, and London to develop fixed-income pricing and risk analytics for our in-house pricing library
  • Work closely with Quants in New York, Geneva, and London to develop pre-trade analysis tools for Portfolio Managers


Requirements:
  • 3 to 5 of years of experience with Rates vols modelling:
    • Building non arbitrage vol surfaces (fix Sabr deficiency)
    • CMS & Mid curve pricing and modelling
    • Curve & market model modelling: one to multi factor curve modelling (LGM, HJM, etc), BGM modelling and calibration.
  • Strong analytical and mathematical skills
  • Strong problem solving capabilities
  • Strong experience C++ programming experience
  • Solid communication skills
  • Able to work independently in a fast-paced environment.
  • Detail oriented, organized, demonstrating thoroughness and strong ownership of work
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