Senior Quantitative Developer – Fixed Income / Rates

Senior Quantitative Developer – Fixed Income / Rates

12 month contract

The Quant will:
• Lead a small team of quantitative developers in all areas of risk management, particularly in rates volatility (exotics and vanilla).
• In terms of products mostly be Interest Rates and FX.
• Within rates, the immediate priorities are linear products and relatively simple options, but we also intend to cover inflation eventually.
• In FX there is intention to produce analytics and trade more exotic options.
• We could also touch a bit of credit eventually.
• Modelwise, we will probably be looking at SABR and potential extensions to tackle well known issues with negative rates and extreme strikes. Within FX, models could include SVI, Local Vol, and mixtures with SV (e.g., Heston or SABR).
• Develop models to compute new analytics in collaboration with the head of portfolio research
• Support and run processes for quantitative risk and risk management

The successful quant will be interested in working within an innovative and entrepreneurial environment, where they will be expected to be involved in all aspects of trading and risk.
Senior Quant Developers MUST:
• PhD or MSc in an advanced scientific field
• Strong experience rates vols (vanilla and exotics)
• A minimum of 5 years of front office quantitative experience
• Experience across fixed income
• Very strong knowledge of software design including algorithms and object oriented design
• Strong Experience in C++
• Experience in R or Python programming language is strongly preferred
• Strong communication skills required as this role involved direct communication with risk management and trading
• Applicant should have a demonstrated track record of success in challenging environments

This is a unique company that allows freedom in the quantitative area. My client offers a personal training budget per person as well as a bonus. Bupa, Pension and travel loan make up an excellent benefits package.

My client is based in London
Quant Analyst, Quantitative, Rates,