Quantitative Research - Rates Options - Analyst or Associate

Our team’s mission is to develop and maintain sophisticated mathematical models, cutting-edge methodologies and infrastructure to value and hedge financial transactions, as well as improve the performance of algorithmic trading strategies and promote advanced electronic solutions to our clients worldwide.

Job summary

As aAnalyst or Associate within Quantitative Research, Rates Options team, you’ll contribute to the firm’s product innovation, effective risk management, financial risk controls. You will work closely with Interest Rates Flow Option trading desks to develop statistical arbitrage strategies and other quantitative trading models.

Job responsibilities

Develop/Enhance pricers and implement them in C++/Python for pricing and risk managing derivatives Rapid prototyping of models and products; benchmark and compare results of various techniques Explain model behavior and predictions to traders and controllers, identify major sources of risk in portfolios, carry out scenario analysis, provide guidance/debug analytics Write well-formulated documents of model specification and implementation testing

Required qualifications, capabilities, and skills:

You thrive in a fast-paced environment of real-time Market pressures and easily remain focused on client needs You demonstrate quantitative and problem-solving skills as well as research skills; excellence in probability theory and numerical analysis You demonstrate proficiency in code design and programming skills, with primary focus on Python and C++ You quickly grasp business concepts outside immediate area of expertise and adapt to rapidly changing business needs You demonstrate excellent communication skills, both verbal and written, can engage and influence partners and stakeholders You are good at communicating concepts and ideas, also via documentation, and you are keen to defend their validity and tailor messages to different audiences You’re enthusiastic about knowledge sharing and collaboration You think strategically and creatively when faced with problems and opportunities, you always look for new ways of doing thing.

Preferred qualifications, capabilities, and skills:

Masters or equivalent degree in Engineering, Mathematics, Physics, Computer Science, etc. Relevant academic research publications Knowledge of interest rate products