OTC FI quantitative researcher // United States recruitment
Responsibilities:
Work closely with traders in OTC fixed income to build necessary infrastructure, curves, and models to price swaps, swaptions, caps, floors, CMS, and CMS curve options
Work with trading desk and software engineers to deliver a risk management framework
Validate existing pricing and trading tools on the fixed income desk
Qualifications:
3+ years of quantitative research experience focused on working with OTC fixed income products; must have strong experience working with the quantitative models and techniques used in this space
Must have experience working with swaps, swaptions, caps, floors, CMS, and CMS curve options.
Experience with Libor-based market models and Bermudan options preferred.
Must have experience working closely with traders
Excellent communication skills essential
Strong mathematics and statistics skills
Proven ability to work independently to deliver practical research results in a timely manner
Driven and passionate about solving real world problems
Must have Master's degree in quantitative field such as Mathematics, Physics, Engineering, Economics or Finance; PhD preferred
Must be flexible and have proven ability to excel in an environment made up of multidisciplinary teams and quickly changing priorities
Must have proficiency in one or more of the following technologies: C++, C#, Mathematica or Matlab
If this quantitative researcher opportunity is of interest, please forward a word formatted CV to analysis@carltonseniorappointments.com.