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Rates Quantitative Analyst

2 months ago

London, Greater London, United Kingdom Millar Associates Full time

Job Title: Rates Quantitative Analyst

Company: Millar Associates

Location: London

Job Type: Full-time

Industry: Financial Services

Job Description:

Overview:

Millar Associates is seeking a highly skilled Rates Quantitative Analyst to join our team in London. As a Rates Quantitative Analyst, you will be responsible for developing and enhancing the core Rates Quant analytics library and providing front office tools for traders/PMs.

Responsibilities:

  • Contribute to enhancing the core Rates Quant analytics library and front office tools.
  • Provide ongoing support to clients and maintenance of existing BAU processes.
  • Provide guidance to junior members where required.
  • Assist in leveraging the analytics and front end to build-out of a market leading system for Fixed Income asset management.
  • Deliver tools & analytics to price and risk Linear & Non-linear Rates products using LMM, SABR, Cheyette, Vanilla models.
  • Build out library functionality for valuation, risk, scenario, for a wide range of OTC and listed derivatives as well as some cash products in G10 and EM.

Requirements:

  • 5-12 yrs+ 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 (how to build, how basis is applied, etc.), 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.

What We Offer:

Millar Associates offers a competitive salary and benefits package, as well as opportunities for professional growth and development.