Exotic Rates Modelling Quant – Interest Rate derivatives Quant – VP Level – Tier 1 Investment Bank – Fixed Income Exotic Rates Quant – Quantitative Analyst recruitment
The group is responsible for building and developing mathematical models for pricing and risk management by the Rates business. Our client is searching for an exceptionally strong quantitative individual to join this talented team of quants sitting directly with the traders.
This front office role requires a high level of analytical thinking with good problem solving ability.
Core Responsibilities:
- Develop new exotic mathematical models for the rates trading business.
- Develop pricing and calibration tools.
- Explain model behaviour and predictions to traders, identifying major sources or risk and carry out scenario analysis.
- Play a strategic role in the re-architecture of the underlining rates exotic library – providing guidance from a modelling perspective.
The ideal candidate will have:
- 2-6 years front office quant experience
- Practical experience with Fixed Income modelling including BGM, Short Rate and Markov functional, as well as an understanding of the flow / vanilla business including yield curves and CSA discounting.
- PhD / Masters from a top university in a mathematical / quantitative discipline.
- Strong object oriented programming skills – C++ / C#
- Commercial awareness and good business understanding.
- Strong financial mathematics - Stochastic Calculus, Monte Carlo Simulation etc.
- Good communication skills.
For more information, to apply or to recommend anyone you feel would be ideal for this role please contact me in confidence on (+44)207 749 6060, or email me on andyc@montash.com
Montash Associates partners with a number of Buy and Sell Side organisations exclusively and the majority of our vacancies are not advertised online. To learn about all of our current opportunities please call me for a confidential discussion: (+44)207 749 60 60.
Reference: AC/IRPQ/2214
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