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Front Office Interest Rates Quant

  • : Market Rates
  • : Permanent
  • : Europe
  • :

This Role Is Now Closed

However, we would still like to hear from you as we regularly have similar roles. Please contact us on:

Tel: + 44 (0) 203 772 4567

Interest Rates Bermudan Swaptions Exotics

Job 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

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