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Millennium is a top tier global hedge fund with a strong commitment to leveraging innovations in technology and data science to solve complex problems for our business. We are assembling a strong Quant Technology team to build our next generation in-house analytics and trader support tools. This team is part of Fixed Income & Commodities Technology (FICT) and develops our in-house pricing libraries to support trading in Fixed Income, Commodities, Credit, and FX. FICT provides a dynamic and fast-paced environment with excellent growth opportunities.
Work closely with Quants in New York, Geneva, and London to develop fixed-income pricing and risk analytics for our in-house pricing library
Work closely with Quants in New York, Geneva, and London to develop pre-trade analysis tools for Portfolio Managers
3 to 5 of years of experience with Rates vols modelling:
Building non arbitrage vol surfaces (fix Sabr deficiency)
CMS & Mid curve pricing and modelling
Curve & market model modelling: one to multi factor curve modelling (LGM, HJM, etc), BGM modelling and calibration.
Strong analytical and mathematical skills
Strong problem solving capabilities
Strong experience C++ programming experience
Solid communication skills
Able to work independently in a fast-paced environment.
Detail oriented, organized, demonstrating thoroughness and strong ownership of work