|Job Type:||Full Time|
We’re seeking a person to join a team within Rates Quantitative Research working on some important and relatively unexplored topics: structured repos, inflation exotics, bespoke bond derivatives, pricing of less-liquid securities, relative value, collateral optimisation, pricing and risk management tools for repo and bond traders.
We expect the person to share in a balanced mixture of responsibilities, including support for and discussions with traders, model research and development, model documentation, pricing and risk investigation, product-specific analysis, software and trading tool development.
- Develop models and implement them in Python/C++ for pricing and risk managing trades;
- Rapidly build prototype models and tools; compare results of various techniques;
- Explain model behavior and predictions to traders and controllers, identify major sources of risk in portfolios, carry out scenario analysis, provide guidance/debug analytics;
- Write well-formulated documents of model specification and implementation testing.
Essential skills, experience and qualifications
- Strong software development and Python/C++ skills;
- Strong analytical and problem solving abilities;
- Familiarity with probability theory, stochastic processes, and numerical analysis;
- Good communication skills, both oral and written;
- PhD or equivalent in Mathematics, Math Finance, Physics, or other quantitative subject.
- Knowledge of financial products, from loans, repos and bonds to structured and exotic deals;
- knowledge of machine learning/statistical techniques.