|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.
- 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.
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.