Rates Quant Strategist
Rates Quant Strategist
A prestigious global investment firm is seeking two Associate/VP-level Quant Strategists to join their Capital Markets Front Office Team in New York City. This is a high-impact opportunity for professionals looking to work at the intersection of cutting-edge finance and technology.
As a key member of the team, you'll leverage your expertise to develop and implement advanced pricing models for a wide variety of derivative products. You'll collaborate directly with traders and front-office professionals, creating solutions that enhance decision-making processes and streamline risk management. This role offers you the chance to contribute to a rapidly evolving and dynamic market environment, with a focus on interest rates, credit derivatives, and FX.
What you'll do:
- Collaborate directly with traders to develop and implement pricing models for a range of FX/interest rates swaps, options, and exotic products.
- Build, maintain, and extend existing model implementations using C++, Python, Excel VBA, and other relevant technologies.
- Contribute to exotic derivatives pricing and deepen your expertise in pricing methodologies for complex structures like callable derivatives.
- Implement risk reports and automate processes to enhance risk management and operations.
Ideal Candidates:
- 2+ years in a similar role within the financial industry, ideally with a focus on interest rate products and derivative pricing.
- Proficiency in C++ (other compiled languages are a plus).
- A Masters or Ph.D. in a Quantitative Field (Finance, Mathematics, Engineering, etc.).
- Strong understanding of stochastic calculus, derivative pricing theory, and numerical methods like Monte Carlo simulations and PDEs.
- Ability to work directly with traders to troubleshoot pricing and risk management issues, and assist with volatility calibration and curve building.
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