Design, development, and implementation of quantitative models for interest rates risk management, trading strategies, and pricing of interest rates products
Develop, integrate, and deploy optimization-based curve construction in collaboration with other Quants, providing expertise in relevant software design, implementation and performance optimization
Effectively communicate and partner with Business Stakeholders, other Quant Teams, Technology and Project Management
Deliver high-quality software and documentation following our standardized planning and Agile-based SDLC process
Support the trading desk with questions about deployed models
Proactively participate in complex software design & development activities within an Agile environment
Contribute to large-scale project planning, balancing short and long-term objectives
Use quantitative and advanced technologies to solve complex business problems
Meet deliverables while adhering to policies, procedures, and compliance requirements
Collaborate and consult with peers, colleagues, and project managers to resolve issues and achieve goals
Effectively communicate with and build consensus with all project stakeholders
Requirements
5+ years of Securities Quantitative Analytics experience
5+ years of quantitative development experience
4+ years interest rates modeling and model implementation
4+ years of front office derivatives Quant model experience
Team player with excellent verbal and written and interpersonal communication skills
Strong experience in derivatives modeling and implementation, especially rates products and models
Experience working with Sales and Trading partners as a front office quant
Solid knowledge of financial mathematics, particularly, stochastic calculus, Monte-Carlo and other numerical methods
Strong hands-on programming skills in C++ and Python, and proficient in the model implementation
Ability to work on multiple projects and effectively organize tasks, manage time, set priorities and meet deadlines
Strong interest in financial markets and willingness to provide practical solutions for the business stakeholders
Experience with model documentation and model validation
Demonstrated experience in successfully collaborating with others in a change driven environment
Master's or higher degree or equivalent in computer science, computational finance, mathematics or similar technical fields
PhD degree or equivalent in computer science, computational finance or mathematics
Tech Stack
Python
SDLC
Benefits
Health benefits
401(k) Plan
Paid time off
Disability benefits
Life insurance, critical illness insurance, and accident insurance