Mayfair Fixed Income Macro Hedge Fund – Rates Modelling Quant – Interest Rate derivatives Quant – Quantitative Analyst. recruitment
The fund has a small team of fixed income quants and is offering a broad role which will cover rates exotic, vanilla and flow modelling. They are looking for an experienced quant who has previous exposure to Exotics / vanilla options modelling with strong mathematical skills and solid C++ capabilities.
This group of quants sit directly with the trading team and are responsible for long term strategic modelling, as well and short term ad hoc work with the traders.
Core Responsibilities:
- Develop new exotic mathematical models for the rates trading business.
- Developing PnL / risk tools for the London based trading team.
- Working directly with the head of the trading team on strategic long term modelling goals.
- Explain model behaviour and predictions to traders, identifying major sources or risk and carry out scenario analysis.
- Close interaction with front office IT to develop the platform from a quantitative perspective.
The ideal candidate will have:
- 1- 4 years front office quant experience
- Past experience with Rates Exotic / Vanilla flow modelling.
- Practical experience with Fixed Income modelling including BGM, Short Rate and Markov functional, as well as an understanding of the flow / vanilla business including yield curves and CSA discounting.
- PhD / Masters from a top university in a mathematical / quantitative discipline.
- Strong object oriented programming skills – C++ / C#
- Strong financial mathematics - Stochastic Calculus, Monte Carlo Simulation etc.
- Good communication skills.
For more information, to apply or to recommend anyone you feel would be ideal for this role please contact me in confidence on (+44)207 749 6060, or email me on andyc@montash.com
Montash Associates partners with a number of Buy and Sell Side organisations exclusively and the majority of our vacancies are not advertised online. To learn about all of our current opportunities please call me for a confidential discussion: (+44)207 749 60 60.
Reference: AC/IRHF/4522
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