Rates Quant, Large Hedge Fund & FinTech (VP), London

Spread Options, Curves, Bermudans, Callables, structured products, FVAs, etc., C++ & Python

RESPONSIBILITIES:

• Contribute to enhancing the core Rates Quant analytics library (written in C++) and front office tools.
• Providing ongoing support to clients and maintenance of existing BAU processes
• Provide guidance to junior members where required
• Assist in leveraging the analytics and front end to build-out of a market leading system for Fixed Income asset management
• Deliver tools & analytics to price and risk Linear & Non-linear Rates products using LMM, SABR, Cheyette, Vanilla models.
• Build out library functionality for valuation, risk, scenario, for a wide range of OTC and listed derivatives as well as some cash products in G10 and EM

KEY SKILLS & EXPERIENCE:

• 5 yrs+ professional experience as a Quantitative Analyst in Rates, with a solid track record of delivery.
• Knowledge of Linear and non-linear rates products, ranging from swaps, bonds to listed and OTC products,
• (Spread Options, Curves, Bermudans, Callables, structured products, FVAs, etc)
• Deep knowledge of and passion for derivative analytics & markets, PDEs, stochastics
• Confident working with C++, with Python, C# & SQL desirable
• Strong ability to communicate with Portfolio Managers & the Front Office
• PhD or Masters in a quantitative discipline