European Volatility Rates Quantitative Analyst
1 week ago
Balyasny Asset Management L.P. is seeking a highly skilled European Volatility Rates Quantitative Researcher to join our Macro Technology Team.
OverviewWe are looking for a talented individual who can design and implement processes for live calculation of P&L and risk used by portfolio managers, build and maintain pricing models for a range of products traded in macro business, and support portfolio managers and analysts in building out bespoke tools using in-house analytics.
SalaryThe estimated annual salary for this role is between $200,000 and $300,000, dependent on relevant experience, business needs, and market demands.
Job DescriptionAs a European Volatility Rates Quantitative Researcher, you will be responsible for:
- Designing and implementing processes for live calculation of P&L and risk used by portfolio managers;
- Building and maintaining pricing models for a range of products traded in macro business;
- Supporting portfolio managers and analysts in building out bespoke tools using in-house analytics;
- Designing and implementing macro data series for use in analysis and back-testing;
- Learning about pricing, risk, and calibration for various macro products.
To be successful in this role, you will need:
- A Masters' Degree or higher in a quantitative field; preferably with degree courses in computer science, finance, mathematics, econometrics, or other quantitative discipline;
- Expert C++ programming skills with the ability to produce well-engineered code;
- Programming experience in Python in the context of 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, as well as 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.
This role may also be eligible for bonus compensation and employee benefits.
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London, Greater London, United Kingdom Balyasny Asset Management L.P. Full timeThe Macro Technology Team at Balyasny Asset Management L.P. is seeking a highly skilled European Volatility Rates Quantitative Researcher to join our team.With a focus on macro business, this role involves building and maintaining pricing models for a range of products traded in the market. The ideal candidate will design and implement processes for live...
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