The global Quant Research group at this leading Investment Bank develops models and algos for pricing, hedging, trading and automatic trading of derivatives products. They now seek an experienced Interest Rates Quant, to lead the build-out of the Interest-Rate and FX curve framework used for trading, valuation and risk management across the entire bank, collaborating with stakeholders across the business, technology and risk oversight. Experienced of developing all the major curves, with strong C++ programming, you’ll have successfully completed a similar project at a leading bank. An outstanding opportunity to join a global front-office team, closely aligned with revenue generation.
Multi-curve Frameworks for Interest Rate & FX & Commodities markets
- Lead the build-out of the interest-rate and FX curve framework
- Develop, implement and test Interest-Rate curve models
- Apply new ideas to convexity between OIS & Ibor curves.
- Work with quants & traders across , Rates/FX, Commodities, Equity & Cross Asset Trading
- Strong implementation skills in C++
KEY SKILLS AND EXPERIENCE:
- 5 to 10 years' experience as a Quant with experience of the major curves, Dollar, Euro, Sterling
- Have led the build-out of the interest-rate & FX curve framework at a leading bank
- Rates calibration: Actually built curve optimiser to calibrate the multi-curve framework
- Expert in financial engineering, with demonstrated ability to manage and deliver
- Expert in C++ and development with managed Pricing libraries
- PhD in Maths, Computing or related scientific discipline