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Quantitative Analyst

2 months ago

London, Greater London, United Kingdom Millar Associates Full time
Job Title: Front Office Vanilla Interest Rate QuantJob Summary

We are seeking a highly skilled Quantitative Analyst to join our Front Office team in London. The successful candidate will be responsible for providing modeling and pricing expertise, building tools and applications, and developing the quant model library in C++ and C#.

Key Responsibilities
  • Contribute to the development of in-house quant solutions, focusing on pricing, risk, model calibration, and market data.
  • Assist in the extension of the pricing library to comply with Model Risk frameworks.
  • Improve tools used by traders.
  • Analyze desk sensitivities (risks) and attribution of PnL, implementing changes in libraries and tools.
  • 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.
Essential Skills and Experience
  • At least 5 years of experience in front office or model validation.
  • Good understanding of IR derivatives (swaps with multi-urve, swaptions with skew), vanilla derivatives in one other asset class.
  • 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: choice of interpolation, choice of instruments, curve hierarchy, etc.
  • Good understanding of risk profiles of Xccy swaps, vanilla options.
  • Experience in changing valuation Monte Carlo, PDE, tree, or numerical integration.
  • PhD or Masters in a Scientific Discipline.
About Millar Associates

Millar Associates is a leading Investment Bank seeking to hire a VP Quant Analyst to join its expanding Front Office Quant team in London.