Senior Rates - Quantitative Analyst
Tasks
- Build volatility modeling frameworks
- Calibrate volatility surfaces
- Compute risk sensitivities with algorithmic differentiation
- Design pricing models for rates and fx derivatives
- Develop multi-factor term structure models
- Develop risk and analytics models
- Implement stochastic volatility models
- Integrate models into real time risk platforms
- Mentor quantitative team members
- Perform Monte Carlo simulation
- Provide model documentation for regulatory reviews
- Provide model governance and lifecycle support
- Run model calibration and numerical schemes
- Support intraday trading analytics
Perks/Benefits
Skills/Tech-stack
Adjoint methods | Algorithmic differentiation | Arbitrage Free Interpolation | C++ | Cheyette model | Gaussian models | Java | LMM | Monte Carlo | Monte Carlo Simulation | Multi Factor Term Structure | Multi-Factor | Numerical Methods | Options Pricing | P&L systems | Real Time | Real-time risk | Real-time risk systems | Risk sensitivities | Risk systems | SABR | Stochastic Volatility | Structure modeling | Term structure | Term structure modeling | Volatility modeling
Education
Bachelor of Science | Doctor of Philosophy | Master of Science | PhD
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