European Volatility Rates Quantitative Analyst

1 month ago

London, Greater London, United Kingdom Balyasny Asset Management L.P. Full time
European Volatility Rates Quantitative Researcher

We are seeking a highly skilled European Volatility Rates Quantitative Researcher to join our Macro Technology Team.

Key Responsibilities:
  • Develop and maintain pricing models for a range of macro products.
  • Design and implement processes for live calculation of P&L and risk used by portfolio managers.
  • Support portfolio managers and analysts in building out bespoke tools using in-house analytics.
  • Design and implement macro data series for use in analysis and back-testing.
  • Stay up-to-date with pricing, risk, and calibration for various macro products.
Requirements:
  • Masters' Degree or higher in a quantitative field, with a strong background in computer science, finance, mathematics, econometrics, or other quantitative discipline.
  • Expert C++ programmer with experience in C++17 and a willingness to move to C++20.
  • Programming experience in Python for data analysis, with the ability to test ideas and develop infrastructure for further research.
  • Understanding and exposure to interest rates swaps, fixed income futures, interest rate options, and foreign exchange, with experience in local and/or stochastic vol models implementation.
  • Knowledge of statistics, including time series analysis and regressions.
  • Strong organization skills with the ability to present results clearly and iterate with PMs accordingly.
What We Offer:

We offer a competitive salary range of $200,000 to $300,000 annually, depending on relevant experience, business needs, and market demands. This role may also be eligible for bonus compensation and employee benefits.

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