Securities Quantitative Analytics Associate
109941-GBR-CITY OF LONDON-INTL 33 King William St (London Br Lease), United Kingdom
GBP 90K-108K (estimate) Entry-level Full Time
Tasks
- Build and enhance pricing and risk analytics
- Calibrate stochastic term structure models
- Construct curves and calibrate volatility cube
- Create model documentation and testing
- Deliver arbitrage free SABR with wing extension
- Design and implement quantitative models for interest rate products
- Develop quant library build and regression test infrastructure
- Implement and test curve changes for macro flow
- Integrate models into production for daily PnL and risk
- Migrate Excel tools to Python
- Provide model support to trading desk
- Transition to optimization based curve engine
- Troubleshoot and enhance model implementations
Perks/Benefits
- N/A
Skills/Tech-stack
Arbitrage Free Modeling | BGM | Bermudan swaptions | C++ | CMS | Cap Floor | Cheyette | Cross currency | Cross-currency swaps | Curve construction | Hull-White | Inflation Modeling | Java | LGM | Multi Curve Framework | Optimization | Pricing Analytics | Python | Quadratic Gaussian | Range Accrual | Regression testing | Risk Management | SABR | Stochastic Term Structure | Swaptions | Term structure | Volatility Cube Calibration | Volatility modeling
Education
Associate Degree | Bachelor of Engineering | Bachelor of Science | Master of Science | PhD
Roles
Analyst | Developer | Quantitative Analyst | Quantitative Developer
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