Quantitative Analyst - Rates Options Desk Quant (Vice President)
Location(s): London, England, United Kingdom
GBP 67K-98K (estimate) Executive-level Full Time
Tasks
- Adhere to code of conduct and supervision plan
- Assess risk reward for transactions
- Build quantitative models for trading
- Collaborate with traders and structurers on risk management tools
- Coordinate with risk legal compliance finance and audit for governance
- Develop analytics libraries for interest rate derivatives pricing and risk management
- Develop pricing models using Monte Carlo
- Ensure policy compliance and required registrations
- Implement numerical valuation methods
- Solve pricing using partial differential equation solvers
Perks/Benefits
- Employee assistance program
- Hybrid work
- Paid parental leave
- Paid time off
- Pension plan
- Private medical insurance
Skills/Tech-stack
C++ | CMS Caps | Differential Equations | HJM | Interest Rate | Interest Rate Derivatives | Monte Carlo | Numerical Methods | Partial differential equations | Probability theory | Python | SABR | Software Design | Statistics | Swaptions
Education
Roles
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