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A major investment bank has just gotten approval from the Global Head of Fixed Income to bring on board additional headcount to their front office team. You will be working alongside the senior members of the team on the development and maintenance of their rates C++ libraries, working on forward contracts, swaps, and options on this nimble team.
Responsibilities for Interest Rates Quant
Develop Interest Rates derivative pricing and analytical models
Implement and maintain the Interest Rates derivative pricing models in C++
Use Monte Carlo simulations to build the most robust models
Support the traders as a desk strat on application development, risk management, and analytical tools
Collaborate with the CRO and risk team on model documentation based on the existing framework to meet the needs of SR11-7 and CCAR
Products include: Swaps, Futures, Swaptions, Eurostrops and various other rates derivatives
Technologies used: C++, Python
Qualification for Rates Quant
Applied experience working on a front office Interest team or relevant experience with FI derivative pricing models
Ph.D. in a Quantitative Discipline (Physics, Mathematics, Statistics, Computer Science, etc.)
3+ years of industry C++ skills
Expertise in Monte Carlo Simulation, Stochastic Calculus, and Partial Differential Equations
Perfect written and verbal communication
If you are looking to be part of this highly driven, expanding team please apply and we will reach out to discuss in further detail.