Senior Quantitative Developer - Interest Rate Pricing Models
Senior Quantitative Developer - Interest Rate Pricing Models
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Salary Not Disclosed
1 Vacancy
Job Description
The quant team is responsible for providing valuation and risk calculations for all products traded by the firm (primarily rates foreign exchange and credit) across a variety of applications. The team is implementing a new quantitative analytics library and are looking for an individual to drive the technology.
Quantitative Modeling: Expand product and market coverage to address evolving client needs by researching implementing and rolling out new rates models.
Analytical Support: Maintain existing models interact with client portfolio managers traders and risk managers.
- Test models and explain any differences with expected results
- Document all changes and prepare submission packages for MRMGs review
- Respond to feedback from MRMG and adjust submission packages accordingly as appropriate
Qualifications :
5 years of quantitative model development experience using Python
A Degree in a Quantitative Field:
Experience in interest rates derivatives (swap swaptions CMS spread options midcurves etc) and modeling (short rate Libor Market Model)
Exposure to curve building and stochastic volatility models.
Expertise in stochastic calculus and numerical methods such as MonteCarlo simulation finite difference schemes.
Additional Information :
Compensation 120140K
Benefits:
- Work from home opportunities
- Extended health care
- Dental care
- Life insurance
Remote Work :
Yes
Employment Type :
Fulltime
Employment Type
Remote
