Quantitative Analyst Linear Interest Rates recruitment

This is a chance to joing a small but growing and dynamic team that has close relationships with the traders and quant team in Singapore.

You will report directly into a senior business manager and head trader at the London Office on a day to day basis and liaise closely with the head of the quant team who is based in Singapore.

The ideal candidate will –

• have detailed knowledge of build methodology and desired characteristics for yield, basis, bond, inflation and default curves particularly with emphasis on forwards, greeks and collateral implication

• implemented or having good understanding of interest rate models such as HW, BGM, HJM and their skew variants

• clear understanding of all essential dimensions in pricing and risk management of rates, inflation and credit products particularly on greeks and pl explanation

• Working with Quantitative Applications teams in Asia and Australia on a global library development in C++.

• Identifying better or more innovative solutions for pricing tools for structurers and traders

• Design and implementation of code structure

• Understanding Sales and trading requirements

• Flow of information to Sales and Trading teams as required

• Working with Sales and Trading teams to deliver capacity to specifications

The minimum requirment for this position include –

• Appropriate academic degree (Computer Science, Maths, Physics, or other analytical degree)

• At least 3 years experience working in financial markets in front office with a thorough knowledge of Rates markets and products and models.

• Excellent software engineering skills with sound knowledge of object oriented C++, VBA, Excel

• Experience with implementation of pricing tools in c++-library, in particular Rates models for exotic products using Monte Carlo or PDE numerical methods.

• Candidate must demonstrate deep understanding of design patterns, and must have used them successfully in past library development.

• Strong in mathematics and statistics with particular emphasis on stochastic calculus. Well developed skills in complex and multi dimensional problem solving, logical reasoning and analytical modelling.

• Excellent analytical, communication and presentation skills.

• Superior written communication skills

The chosen candidate will be rewarded with a competitive salary and bonus package with the opportunity for excellent career progression within a challenging environment.

Keywords:

Quantitative Analyst; Front Office; Interest rates; Exotics; Vanilla; Derivatives; Trading; trader; C++; Vice President; London; Europe;

To apply please contact quantexotic@selbyjennings.com with CV in word format or call + 44 (0) 207 019 4137.

www.selbyjennings.com