Quantitative Analyst

6 hours ago


London, Greater London, United Kingdom Millar Associates Full time
Quantitative Analyst - Rates

Millar Associates is seeking a highly skilled Quantitative Analyst to join our Rates team in London. As a key member of our team, you will be responsible for developing and enhancing our core Rates Quant analytics library, as well as providing front office tools for traders and portfolio managers.

Responsibilities:
  • Contribute to the enhancement of our core Rates Quant analytics library and front office tools.
  • Provide ongoing support to clients and maintenance of existing business-as-usual processes.
  • Guide junior members where required.
  • Assist in leveraging analytics and front-end tools to build-out a market-leading system for Fixed Income asset management.
  • Deliver tools and analytics to price and risk Linear and Non-linear Rates products using LMM, SABR, Cheyette, and Vanilla models.
  • Build out library functionality for valuation, risk, and scenario analysis for a wide range of OTC and listed derivatives, as well as some cash products in G10 and EM.
Requirements:
  • 5-12 years of professional experience as a Quantitative Analyst in Rates, with a solid track record of delivery.
  • Knowledge of Linear and non-linear Rates products, ranging from swaps, bonds to listed and OTC products.
  • Spread Options, Curve building, Bermudans, Callables, FVAs, etc.
  • Deep knowledge of and passion for derivative analytics & markets, PDEs, stochastics.
  • PhD or Masters in a quantitative discipline.
  • Confident working with C++ & Python, SQL.
  • Strong ability to communicate with Portfolio Managers & the Front Office.
  • Desirable: experience in another asset class, e.g. FX or Credit.

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