Interest Rate Senior Quant. Front Office recruitment
The role is positioned in the Front Office and entirely within the trading floor. 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.
Responsibilities:
- Development and analysis of models used for pricing and hedging of interest rate derivatives.
- Interaction with trading, sales and structuring areas in order to assess the corresponding business unit modeling needs.
- Research of new models available in the financial modelling literature.
- Design of suitable numerical schemes.
Requirements:
- 3-6 years experience working in a front office quantitative group within a leading institution preferably in interest rates.
- 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 and 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.
- Business oriented.
-Fluent English.