Rates Derivatives Quant/Data Modeler (C++) (PhD) – Pricing Models
This group is responsible for building, reviewing, testing, and approving all models used for pricing and hedging plain vanilla and complex interest rate derivatives transactions. Candidates must have an advanced (Ph.D) quantitative degree and 3-5 years of experience designing algorithms that are used to aggregate market data, build models that calibrate forward curves and volatility surfaces and to validate the accuracy of pricing models for interest rate swaps and OTC derivatives. A strong understanding and communication of the payoff profiles of these complex trades is a definite requirement. Strong C++ programming and quantitative skills are required. This role works closely with traders and strategists and requires superior communication skills.
Keywords: Interest Rate Swaps, OTC derivatives, Forward Curves, Volatility Surfaces, PhD, Curve Construction, C++
Please send resumes to Jim Geiger at jeg@analyticrecruiting.com.
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