Senior Quantitative Developer – Fixed Income
Job Description:
• The quant team is responsible for providing valuation and risk calculations for all products traded by the firm (primarily rates, foreign exchange and credit) across a variety of applications.
• The team is implementing a new quantitative analytics library and are looking for an individual to drive the technology.
• Maintain existing models, interact with client portfolio managers, traders and risk managers.
• Test models and explain any differences with expected results.
Requirements:
• 5+ years of quantitative model development experience using Python Quantlib and C++
• A Degree in a Quantitative Field
• Experience in Bonds and interest rates derivatives (swap, swaptions, CMS spread options, midcurves, etc) and modeling (short rate, Libor Market Model)
• Exposure to curve building and stochastic volatility models.
• Expertise in stochastic calculus and numerical methods such as Monte-Carlo simulation, finite difference schemes.
Benefits:
• Work from home opportunities
• Extended health care
• Dental care
• Life insurance
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