Associate/Vice President - Inflation Quant | SCIB
Core
Develop pricing libraries, curve construction frameworks, and analytics for inflation derivatives (options, caps/floors, volatility products) to support front-office trading and risk management.
Role type
Senior Inflation Quantitative Analyst (Front Office)
Builds
Production pricing and risk analytics libraries for inflation derivatives
Domain
Financial Markets / Inflation Derivatives / Quantitative Finance
Deliverable
production ML models | product features
Required skills
Inflation derivatives modelling, Interest rate derivatives modelling, Curve construction (bootstrapping, interpolation, calibration), Python, C++, Numerical libraries (NumPy, SciPy, pandas), Model validation, Automated testing, CI/CD pipelines
Preferred skills
PhD in Financial Math/Physics/CS, Rust, Real-money inflation markets (linkers, breakevens), Inflation volatility modelling, Smile/skew modelling
Technologies
Python, C++, Rust, NumPy, SciPy, pandas, Git
Responsibilities
Design and maintain models for inflation revenue swaps, YoY swaps, LPI swaps, caps/floors, and options; Develop inflation curve construction methodologies; Build analytics for pricing, risk, calibration, and scenario analysis; Implement and test new models in production libraries; Collaborate with traders, structurers, and risk managers; Monitor and resolve production issues; Document models and present methodology to stakeholders.
Seniority
Senior, hands-on IC