This is a position for a Senior-level Quantitative Researcher. The focus is development of the infrastructure for derivative securities pricing, in the area of interest rates (including inflation), credit derivatives and foreign exchange.
The role resides in our Front Office Strategists team within our Capital Markets business. The successful hire will provide quantitative support in terms of model building, implementation, application building, and documentation as well as pricing and risk management advice to traders and marketers.
The successful candidate understands the aspects of pricing of FX/interest rates swap/options, and will be able to implement pricers in C++ based DLL and/or in script languages.
Excellent programming skills in C++ are important. Knowledge of scripting languages (e.g. Python) is a plus.
VP-level Front Office Quant who will contribute to the team's vanilla and exotic derivatives modeling and pricing efforts in interest rate and FX products.
Experience and Knowledge
Skills and Abilities