Interest Rate Derivatives Quant (VP, Dir)

London, New York & Toronto
Ref: IRDQ-2408
Excellent Package including guarantee
Global Investment Bank
Linear Swaps & the major Curves: Dollar, Euro, Sterling, etc.

The global Quant Research group at this leading Investment Bank develops models to price and hedge, flow and derivatives products. We seek an experienced Interest Rate Quant (VP), to work alongside traders& develop pricing models & hedging analytics for the major curves Dollar, Euro, Sterling, with strong C++ programming or similar skills.

KEY RESPONSIBILITIES:

  • Developing pricing models and hedging analytics for existing and new products
  • Developing FO analytics for curve marking, trade pricing, and risk monitoring
  • Empathetically support traders across Rates Trading with their valuation & hedging questions
  • Implement models into the common C++ Library, FO booking system
  • 2 to 5 years' experience in interest rate curve construction methodologies including rates, inflation & bond products pricing models
  • Strong programming in C++, familiar with Java, Python, or Perl
  • Strong analytical and problem solving skills
  • Strong quant experience with Linear Swaps with the major curves: Dollar, Euro, Sterling
  • Masters or PhD in Maths, Financial Engineering, Physics, Comp Sci, or other quantitative discipline
  • Enabling rapid new product introduction through tactical solutions
  • Providing analytic contents in joint projects with risk management and technology groups

KEY SKILLS:

  • 2 to 5 years' experience in interest rate curve construction methodologies including rates, inflation & bond products pricing models
  • Strong programming in C++, familiar with Java, Python, or Perl
  • Strong analytical and problem solving skills
  • Strong quant experience with Linear Swaps with the major curves: Dollar, Euro, Sterling
  • Masters or PhD in Maths, Financial Engineering, Physics, Comp Sci, or other quantitative discipline