Rates Quant, Large Hedge Fund & FinTech (VP / Director), London

This leading Asset Management Service firm has over 350 staff and offices in London, Hong Kong, and New York. Their Quant team develop and enhance the core Rates Quant analytics library (written in C++) and provide front office tools for traders/PMs. Their platform is considered an industry leader in trading analytics, risk analysis and operational robustness, delivering pricing, scenario, risk and P&L for their portfolios and the ability to structure and overlay new positions.

You'll need strong modelling skills, good understanding of fixed income analytics and solid understanding of fixed income / rates products for this exciting opportunity to work closely with technical portfolio managers in a market focussed quant group in a rapidly growing business.

RESPONSIBILITIES:

• Contribute to enhancing the core Rates Quant analytics library (written in C++) and front office tools.
• Providing ongoing support to clients and maintenance of existing BAU processes
• Provide guidance to junior members where required
• Assist in leveraging the analytics and front end to build-out of a market leading system for Fixed Income asset management
• Deliver tools & analytics to price and risk Linear & Non-linear Rates products using LMM, SABR, Cheyette, Vanilla models.
• Build out library functionality for valuation, risk, scenario, for a wide range of OTC and listed derivatives as well as some cash products in G10 and EM
  

KEY SKILLS & EXPERIENCE:

• 5-12 yrs+ professional experience as a Quantitative Analyst in Rates, with a solid track record of delivery.
• Knowledge of Linear and non-linear rates products, ranging from swaps, bonds to listed and OTC products,
• Spread Options, Curve building (how to build, how basis is applied, etc.), Bermudans, Callables, FVAs, etc.
• Deep knowledge of and passion for derivative analytics & markets, PDEs, stochastics
• PhD or Masters in a quantitative discipline
• Confident working with C++ & Python, SQL
• Strong ability to communicate with Portfolio Managers & the Front Office
• Desirable: experience in another asset class, e.g. FX or Credit