Securities Quantitative Analytics Associate
109941-GBR-CITY OF LONDON-INTL 33 King William St (London Br Lease), United Kingdom
GBP 63K-80K (estimate) Entry-level Full Time
Tasks
- Build and enhance pricing and risk analytics
- Calibrate stochastic term structure models
- Collaborate with traders and technology partners
- Construct curves and calibrate volatility cube
- Deliver arbitrage free SABR with wing extension
- Design and implement quantitative models
- Develop quant library and regression testing infrastructure
- Implement and support curve changes for macro flow
- Integrate models into daily PL and risk workflows
- Migrate Excel tools to Python
- Provide model documentation and testing
- Support trading desk and troubleshoot models
- Transition to optimization based curve engine
Perks/Benefits
- N/A
Skills/Tech-stack
Arbitrage Free Modeling | BGM | C++ | Cheyette | Curve Modeling | Curve construction | Hull-White | Java | LGM | Model calibration | Multi Curve | Multi Curve Modeling | Optimization | Pricing | Python | Quadratic Gaussian | Regression testing | Risk Management | SABR | Software testing | Stochastic Term Structure | Stochastic term structure modeling | Structure modeling | Term structure modeling | Trading Support | Volatility Cube | Volatility Cube Calibration | Volatility modeling
Education
Roles
Analyst | Developer | Quantitative Analyst | Quantitative Developer
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