Senior Quantitative Analyst - Rates
London, United Kingdom
GBP 78K-105K (estimate) Senior-level Full Time
Tasks
- Apply adjoint algorithmic differentiation
- Build multi factor interest rate models
- Calibrate volatility surfaces
- Design pricing and risk models
- Develop Monte Carlo simulation
- Develop volatility modeling frameworks
- Implement stochastic volatility models
- Integrate models into real time risk platforms
- Mentor quantitative team members
- Provide model documentation for regulators
- Support model governance and risk oversight
Perks/Benefits
- Career development opportunities
- Employee recognition programs
- Health and wellness benefits
- Mentorship
- Training and education support
Skills/Tech-stack
Adjoint methods | Algorithmic differentiation | Arbitrage Free Interpolation | C++ | Cheyette model | FX derivatives | Interest Rate | Interest Rate Derivatives | Java | LMM | Monte Carlo | Monte Carlo Simulation | Multi Factor Term Structure | Multi-Factor | Numerical Methods | Options Pricing | Risk Modeling | SABR | Stochastic Calculus | Stochastic Volatility | Term structure | Volatility modeling | Volatility surface
Education
Bachelor of Engineering | Bachelor of Science | Master of Science | PhD
Roles
Analyst | Developer | Quantitative Analyst | Quantitative Developer
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