SMBC Capital Markets, Inc. is looking for a VP level Quantitative Research Analyst. This is a position for a junior-to-middle level (V.P.) front-desk quantitative analyst on interest-rate derivative and FX products.
The successful candidate understands the aspects of pricing of interest rates curves and options, including the volatility skew, as well as the volatility surface dynamics (correlation between the level of rates and volatility).
Solid understanding of the pricing methodology of callable features is essential, as well as knowledge of recent term structure models for interest rates (SABR/LMM). Knowledge of FX options is a plus. Excellent communication skills are essential as this position requires close collaboration with trading desk.
The position requires the prospective employee to:
1. Contribute to trading desk volatility calibration and exotics pricing effort. Produce, maintain or extend existing models for pricing interest rate options in the presence of low or negative rates, model volatility surfaces and skew dynamics.
2. Assist rates/FX electronic trading logic development
3. Help with Exotic Derivatives pricing: familiarity with the pricing methodology for callable structures is essential.
4. Create add-hoc pricing models (excel/vba/c++) for the front desk, including risk and pricing adjustment (CVA,FVA) calculations.
Advance degree in a Quantitative Field
A minimum of 2 years of experience in the Financial industry, preferably with a major financial institution in a role related to interest rates derivative pricing for the front desk.
Solid understanding of stochastic calculus, numerical analysis of stochastic processes, derivative pricing theory.
Experience in Volatility Calibration techniques and theoretical/practical considerations.
Solid knowledge of programming in VBA and/or other languages
Ability to effectively communicate abstract ideas to the front desk, as well as ability to produce technically accurate and effective documentation on the models developed.
Ability to interact with the Trading Department on ad-hoc issues involving volatility calibration.
Ability to understand and troubleshoot pricing / risk management problems in a rapidly expanding group of professionals.