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Front office Senior Quant, Interest Rates Exotics, New York, Salary circa $150,000 + exceptional benefits
Tier 1 investment bank are seeking a quantitative analyst with experience in:
-Supporting an Interest Rates Flow and Exotics desks (BMA experience preferred but not necessary). This includes working with traders, understanding their requests and coming up with both tactical and modeling solutions to address these requests. Also, the ideal candidate will be comfortable communicating their modeling approaches to the desk in a clear and end-user friendly manner.
-Modeling both European and callable structured rates products (European Swaptions, Spread Options, Bermudan Swaptions, Range accruals, etc.)
-Multi-factor interest rates term structure models (HJM/BGM, short rate, Markov Functional). Both theory and especially hands-on implementation experience in model construction, calibration and support.
-Good understanding of pricing and risk management of flow and exotic interest rate derivatives (both theoretical and practical).
Additionally, the candidate must have:
-Excellent C++ coding skills,
-Good communication skills,
-Be a team player.
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; New York; USA
To apply please contact by mail with CV in word format or call 00 44 207 019 4137
www.selbyjennings.com
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.
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