INTEREST-RATES QUANT Modeler (PhD) – HJM, BGM, SABR -Boston recruitment
This position will be responsible for developing, building and testing financial models and valuation tools to support the OTC derivatives trading business. Types of transactions include: futures, options, swaps, credit derivatives, forwards and repos. Additionally this position will provide additional quantitative support to traders. Candidates should have 3-5 yrs of relevant, hands-on experience in the implementation of C++ based stochastic models. Experience with BGM, HJM, or CIR models is a must in addition to experience with SABR models. The candidate should have broad and in-depth knowledge of OTC derivatives and the components of their analytical valuation and strong JAVA, C# and/or C++, and Pascal programming skills. Candidate must be able to work in a front office environment and be comfortable delivering quality solutions in a timely manner. A PhD is strongly desired.
Keywords: SABR, HJM, BGM, CIR, OTC Derivatives, Analytics, Valuation models, Stochastic Models, Volatility models .
Please send resumes to Jim Geiger at jeg@analyticrecruiting.com.