Vacancy detail

Rates & Hybrids Model Quant – Assoc/VP level

Location: United Kingdom (London, City of) Type: Permanent

Rates & Hybrids Model Quant – Assoc/VP level

London based

 

Job Summary:

 

My client is seeking someone to join the Quantitative Research team focused on Interest Rates and/or Rates Hybrids modelling. Relevant education would be in the area of Financial Mathematics, with focus on IR and hybrids models and programming. You will be expected to share in a balanced mixture of responsibilities, including model research and development, model documentation, pricing and risk investigation, product-specific analysis, software development and discussions with the trading desk.

Core Responsibilities:

  • Develop models and implement them in C++ for pricing and risk managing derivatives.
  • Rapid prototyping of models and products; benchmark and 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 C++ skills.
  • Strong analytical and problem solving abilities.
  • Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis.
  • Good communication skills, both oral and written.
  • PhD or equivalent degree from top tier schools/programs in Mathematics, Mathematical Finance, Physics or Engineering.

 

Desirable skills / experience:

  • Python; knowledge of financial products.

 

If you are interested in this position and would like to know more please send your CV to: Bradley.Tyler@AnsonMcCade.com

Reference: AMC*BT/RATES. To apply for this vacancy: email Bradley Tyler

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