Senior Quantitative Developer - Fixed Income
Senior Quantitative Developer - Fixed Income
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Not Disclosed
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
Qualifications :
5 years of quantitative model development experience using Python
A Degree in a Quantitative Field:
Experience in Bonds and 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 Monte-Carlo simulation finite difference schemes.
Additional Information :
Compensation - 120-140K
Benefits:
- Work from home opportunities
- Extended health care
- Dental care
- Life insurance
Remote Work :
Yes
Employment Type :
Full-time
Employment Type
Remote
