Quantitative Finance Jobs » Front Office Interest Rates Quant

Job Title:

Front Office Interest Rates Quant

Ideal Experience/Level:
Senior
Basic Salary:
£ Market Rates
Location:
Europe
Type:
Permanent

Interest Rates Bermudan Swaptions Exotics

Specification:

Front-Office interest rates quant. One senior position (5-10 years of relevant experience). Within Capital Markets, the quant team develops algorithms to value and manage derivatives, based on complex mathematical models, and using sophisticated numerical methods. It works in collaboration with traders, structurers and sales Globally

The role

  • Build exotic interest rates pricing models from scratch.
  • Implement products using pricing engines and models.
  • Articulate model behaviour and predictions to traders, identify risk and provide analyses of scenarios.
  • Prototype pricing models for interest rates, Bermudan, swaptions, exotics, flows, etc.
  • Implement the model in C++ and provide research reports for new models

Required Education:

  • Ideally a PhD in a highly numerical field eg Mathematics, Physics, Computer Science or an equivalent quantitative subject

Technical experience required

  • 5-10 years as Front-Office quant on interest rates derivatives, with good knowledge of products and markets
  • Rates options & volatility models experience a must, experience with ABS and Rates flow products also highly desirable
  • Practical implementation in production of HJM-LMM type of models.
  • Practical implementation in production of sophisticated numerical methods: American Monte Carlo, PDE solver, Fourier.
  • Strong knowledge of stochastic calculus applied to finance
  • Excellent C++ programming skills (Python a plus)
  • Analytical skills. Ability to work under pressure in a proactive and energetic way
  • Communication skills with traders, sales, and IT and risk divisions
  • Fluent English. Spanish a plus, but not a necessity
Register Interest:

If this role interests you and you would like to explore it further, please contact one our experienced consultants and we will discuss the opportunity in further detail.

Tel: + 44 (0) 203 772 4567

Call Back Request
Featured Jobs

Model Validation – Pricing Models
AVP / Manager

Salary: £70,000 to £90,000

Location: London

Type: Permanent

PhD C++ Derivatives

 


Front Office xVA quant
Senior

Salary: £ Market Rates

Location: Europe

Type: Permanent

xVA Quantitative FI Equity FX Credit

 


Model Validation – Risk Models
Director / Senior Manager

Salary: £100,000 to £130,000

Location: London

Type: Permanent

VaR RNIV EPE IRC IMM CVA Basel 3

 


Front Office Interest Rates Quant
Senior

Salary: £ Market Rates

Location: Europe

Type: Permanent

Interest Rates Bermudan Swaptions Exotics

 



  • Follow Us

  • Maxfield LinkedIN Maxfield Search Facebook Maxfield twitter Maxfield Google
  •  
  •  
  •  
  •  
  •  
  • Contact Us

  • 25-26 Lime Street
  • London
  • EC3M 7HR
  • +44 (0) 203 772 4567
  • info @ maxfieldsearch.co.uk
  •  
  •  

© 2009 Maxfield Search. All rights reserved