Interest Rate Options Desk Quant – New York recruitment

The successful candidate will be responsible for developing, maintaining and enhancing financial models required for the IR trading desk. Types of transactions include, among others, BMA swaps, caps and swaptions, and callables

Requirements:
-MS or PhD in mathematics, engineering, or physics
-Prior fixed income derivates, flow rates experience
-Strong programming skills, particularly in C/C++
-Prior experience with BMA and OIS curves, SABR a plus
-Excellent communication skills, as this will be an on-the-desk trader facing role.