Senior Volatility Rates Quant Researcher

4 weeks ago


Rugby, Warwickshire, United Kingdom Selby Jennings Full time

Senior Volatility Rates Quant Researcher

Introduction:

Our client a Tier 1 Global Hedge Fund is looking to onboard a Senior Quant Researcher with expertise in rates volatility modelling and pricing. The position sits within their Macro Technology team.

Key Responsibilities:

  • The development, implementation and maintenance of pricing models for a variety of macro traded products
  • Design and deliver real-time PnL and risk calculations for the trading desk.
  • Assist portfolio managers and analysts in developing custom tools utilizing in-house analytics.
  • Producing macroeconomic data series for back testing and quantitative analysis

Key Requirements:

  • Master's degree or further study in a relevant field e.g. Mathematics, Computer Science, Econometrics, Finance
  • Must be proficient in Python and C++ version C++17, ideally also in C++20
  • In depth product knowledge of Fixed Income and Rates products e.g. Interest Rate Swaps, Futures, Options, CMS spread, Swaptions and curve construction methods
  • Strong written and verbal communication skills
  • Strengths in stochastic modelling and processes

What they offer:

  • A competitive salary commensurate with experience and background.
  • Excellent additional benefits e.g. pension, private healthcare insurance
  • The opportunity to work in the professional heart of London's West End

If interested please apply directly with your CV here.



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