Senior Volatility Rates Quant Researcher

Senior Volatility Rates Quant Researcher

Introduction:

Our client a Tier 1 Global Hedge Fund is looking to onboard a Senior Quant Researcher with expertise in rates volatility modelling and pricing. The position sits within their Macro Technology team.

Key Responsibilities:

• The development, implementation and maintenance of pricing models for a variety of macro traded products

• Design and deliver real-time PnL and risk calculations for the trading desk.

• Assist portfolio managers and analysts in developing custom tools utilizing in-house analytics.

• Producing macroeconomic data series for back testing and quantitative analysis

Key Requirements:

• Master's degree or further study in a relevant field e.g. Mathematics, Computer Science, Econometrics, Finance

• Must be proficient in Python and C++ version C++17, ideally also in C++20

• In depth product knowledge of Fixed Income and Rates products e.g. Interest Rate Swaps, Futures, Options, CMS spread, Swaptions and curve construction methods

• Strong written and verbal communication skills

• Strengths in stochastic modelling and processes

What they offer:

• A competitive salary commensurate with experience and background.

• Excellent additional benefits e.g. pension, private healthcare insurance

• The opportunity to work in the professional heart of London's West End

If interested please apply directly with your CV here.