Rates Quant, Large Hedge Fund & FinTech (VP / Director), London
LondonRef: RATES-2303Total to £260K + BenefitsLeading Asset Management FirmSpread Options, Caps-Floors, Curves, Callables, Bermudans, FVAs, etc., C++ & Python
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:
KEY SKILLS & EXPERIENCE:
5-12 yrs+ professional experience as a Quantitative Analyst in Rates, with a solid track record of delivery. Knowledge ofLinear 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 CreditThe latest news, articles, and resources, sent to your inbox weekly.
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