Vice President, Interest Rate Option Desk Strategist

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Morgan Stanley USA
  • 18 Apr 19

Vice President, Interest Rate Option Desk Strategist

Morgan Stanley & Co. LLC seeks a Vice President, Interest Rate Option Desk Strategist in New York, New York

Research, develop, improve and maintain the asset pricing models to analyze the pricing and risk profiles of the interest rate derivatives. Utilize statistics, data mining and other techniques to process, model and uncover patterns of financial data to facilitate trading decisions. Design, implement and improve the cross-asset risk calculation engine for valuation, risks and scenario analysis. Design, implement and improve the front-office sales-trading system to facilitate intraday pricing, workflows and other activities. Coordinate with technology, operations and other interested groups to manage the projects and deliverables to trading desks from the front-office standpoint.


Requirements :

Requires a Master's degree in Financial Engineering, Mathematics, Statistics, or related quantitative field of study and two (2) years of experience in the position offered or two (2) years of experience as Desk Strategist, Analyst, Intern, or related occupation in the financial services industry. Requires two (2) years of experience with: providing front-office support to traders and sales; sales and trading activities and workflows; financial mathematics including, stochastic calculus and its applications to pricing and risk management of interest rate derivative products; interest rate option pricing models; SABR and HJM models; linear interest rates instruments including, futures, swaps, bonds, and bond futures; interest rate curve calibration; interest rate derivative products; statistics and data mining techniques including multivariate regression analysis, time series analyses, dimensional reduction including PCA; Java; Scala; SDLC; version management systems including GIT/Perforce; large-scale pricing and trading systems using OOP and functional programming languages including Scala and Java; and coordinating IT projects under proper SDLC process.

Qualified Applicants :
To apply, visit us at Scroll down and enter 3129685 as the "Job Number" and click "Search jobs." No calls please. EOE
Morgan Stanley Use Only: *LI-DNI