Front Office Interest Rate Quant (VP / Director)
You will be part of the Markets Investment banking division in London. A strong mathematical background is required, with 2 – 4 years front office experience.
ESSENTIAL SKILLS:
- 4-6 years Interest Rate modelling experience.
- Rates products including: Bond analytics, Libor, Stock Local Vol, Callable CMS, TARNS, Bermudans, etc.
- Knowledge of mathematical finance including stochastics probability.
- Mathematical problem solving.
- PDEs, Monte Carlo, Optimisation and other numerical algorithm skills.
- PhD level in maths, physics or engineering.
- Excellent interpersonal communication skills.
DESIRABLE ATTRIBUTES:
- Commercial systems, e.g Murex experience.
- Programming expertise, in particular C#.
- Practical knowledge of VBA or UNIX.
- Familiarity with exposures on modelling hybrid products.
Leave a Reply
You must be logged in to post a comment.