Rates Quantitative Researcher - NYC
A top global hedge fund is looking to bring on a strong non-linear rates quantitative researcher to their team. This group will support a brand-new trading pod on the platform that is looking to rapidly grow their team and scale their strategies within the non-linear rates space.
Sitting directly alongside several high level traders/PMs, this individual will work on the development of analytics for non-linear rates and rates volatility products.
Job responsibilities include:
- Development and implementation of pricing models and analytics for non-linear rates and rates volatility products.
- Development and maintenance of trading tools for the trading desk including but not limited to PnL calculations, risk monitors and other trading tools.
- Work collaboratively with the portfolio manager to develop and implement bespoke trading tools and analytics.
Job requirements include:
- MS/PhD in a quantitative subject, Mathematics, Physics, Statistics, etc.
- Advanced understanding of local volatility or stochastic local volatility model implementation
- Expertise in C++ programming skills
- 2+ years of experience working on a rates (or fixed income) quantitative desk as a modeler, strat or developer
- Strong Plus: Experience working with IR swaps, futures, IR options and FX
