Head of Interest Rate Quants
You will have close interaction with traders, structures and risk management and have a substantial role in the further development of the interest rate derivatives business unit.
The position supports the interest rate and inflation business by providing models, libraries and applications for pricing and hedging derivatives .
Responsibilities include:
- Manage the interest rate quant group.
- Lead the development and analysis of models used for pricing and hedging of interest rate derivatives.
- Lead the interaction with trading, sales and structuring areas in order to assess the corresponding business unit modeling needs.
- Lead the research of new models available in the financial modelling literature.
- Lead the design of suitable numerical schemes.
Requirements:
- Experience working in a quantitative role in finance as well as exposure to a front office quantitative group within a leading institution (preferably in interest rates) would be desirable, although strong candidates with experience in any other underlying assets or in non front office environments (risk units) could be considered.
- Deep knowledge and previous experience in the following fields: stochastic calculus applied to finance, derivatives valuation models preferably applied to interest rate derivatives, short rate interest rate models, Libor Market Model, copula models, Markovian interest rate models.
- Deep knowledge and previous experience in numerical methods applied to finance: trees, numerical methods to solve PDEs, Montecarlo methods, Fourier techniques.
- Strong object oriented programming skills: c++, c#, vb.net.
- Degree in a mathematical or scientific subject (PhD/MSc preferred but not essential).
- Strong problem solving skills, including numerical and logical reasoning skills.
- Strong interpersonal skills. Flexible and open minded. Team player.
- Business oriented.
- Fluent English. Spanish not required.
- Previous team management experience would be valuable.
Our Offering:
- An environment geared towards performance, attractive career opportunities, and an open corporate culture that values and rewards the contribution of every individual.
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