Quantitative Researcher - Rates
Core
Develop and maintain in-house pricing libraries and analytics tools for Fixed Income, Commodities, Credit, and FX trading, specifically focusing on Rates.
Role type
Quantitative Researcher (Rates)
Builds
Cross-asset pricing and risk libraries, pre-trade, pricing, and risk analytics tools
Domain
Fixed Income, Rates, Derivatives, Financial Technology
Deliverable
production ML models | product features
Required skills
Linear Rates pricing/valuation models, interest rate curve construction, Inflation modelling, derivative instrument pricing, numerical methods (Monte Carlo, Finite Differences, Finite Elements), Modern C++ programming, trader support tools development
Preferred skills
FX products experience (vanillas and exotics), strong analytical and mathematical skills, problem solving capabilities
Technologies
C++, Monte Carlo, Finite Differences, Finite Elements