Quantitative Analyst

1 week ago

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

Millar Associates is seeking a highly skilled Quantitative Analyst to join its Front Office team in London. As a key member of the team, you will be responsible for developing and maintaining in-house quant solutions, with a focus on pricing, risk, model calibration, and market data.

Key Responsibilities:

  • Contribute to the development of in-house quant solutions, including pricing, risk, and model calibration.
  • Assist in the extension of the pricing library to comply with Model Risk frameworks.
  • Improve tools used by traders, including analysis of desk sensitivities and attribution of PnL.
  • Improve the internal market data model for certain data types, such as CDS spreads.
  • Contribute to the effort to remove unused features from internal libraries and tools.
  • Contribute to documentation and validation of models.

Essentials:

  • 4+ years of experience in front office or model validation.
  • Good understanding of IR derivatives, including swaps with multi-urve and swaptions with skew.
  • Strong quant development skills in C# or C++.
  • Contributed to production code used for valuation or risk engine for PnL and sensitivities.
  • IR curve bootstrapping expertise, including choice of interpolation and curve hierarchy.
  • Good understanding of risk profiles of Xccy swaps and vanilla options.
  • Experience in changing valuation methods, including Monte Carlo, PDE, tree, or numerical integration.
  • PhD or Masters in a Scientific Discipline.

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