Snr Front Office Rates Quant – Options & Flow (Director, VP)

London
Ref: IRFX-2608
New York & London
££ Excellent Salary & Bonus
Rates / FX / Credit, Options & Flow, LIBOR

An excellent Front Office Quant Analyst opportunity for an experienced quant/modeller has arisen within a leading Investment Bank in London. You will work with the trading desk deliver analytics for pricing and risk, covering IR, FX & Credit Options & Flow. This is an excellent opportunity to increase your quant modelling skills, broaden your product knowledge.

KEY RESPONSIBILITIES:

  • Implement cross asset pricing and risk quantitative analytics for the desks
  • Work with the trading desks to maximize revenue targets by delivering analytics across all asset classes
  • Work on pricing, risk engine, internal model changes and contribute to regulatory requirements
  • Maintain a global Rates library (flow & exotic products)
  • Provide support on quantitative issues to traders, marketers & IT

ESSENTIAL SKILLS & EXPERIENCE:

  • Flow & exotics modelling experience covering Interest Rates Options products and models
  • Good knowledge also in FX Options or Hybrid Options 
  • Strong programming in C++, Python
  • Excellent analytical, communication and presentation skills
  • PhD or DEA educated in a quantitative field (Physics, Maths, Financial Engineering)

DESIRABLE:

  • LIBOR decommissioning a strong plus
  • Experience working within a Big Data environment (Hadoop, Spark)