Quantitative Research – Rates and Hybrids – Vice President

Last updated 2 hours ago
Location:Greater London
Job Type:Full Time

We are seeking a person to join the Quantitative Research team focused on Interest Rates and/or Rates Hybrids. Relevant education would be in the area of Financial Mathematics, with focus on interest rate models, FX models, and programming. We expect the person to share in a balanced mixture of responsibilities, including model research and development, model documentation, pricing and risk investigation, product-specific analysis, software and trading tool development, and discussions with the trading desk.

Responsibilities

  • Develop models and implement them in C++ for pricing and risk managing derivatives;
  • Rapidly build prototype models and products (e.g. in Python); benchmark and compare results of various techniques;
  • Explain model behaviour 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.

Requirements

Essential skills, experience and qualifications:

  • Strong software development and C++/Python skills;
  • Strong analytical and problem solving abilities;
  • Familiarity with probability theory, stochastic processes, partial differential equations, and numerical analysis;
  • Good communication skills, both oral and written;
  • PhD or other advanced degree in Mathematics, Mathematical Finance, Physics, or other quantitative subject.

Desirable skills and experience:

  • Knowledge of financial products, from loans and bonds to exotic and hybrid derivative structures.