Overview
In this role you will design, implement, and maintain pricing analytics and inflation curve frameworks for inflation derivatives, collaborating closely with traders and risk teams. You will translate complex models into production-ready analytics and contribute to scalable pricing and calibration capabilities. The position sits at the intersection of research, technology, and trading, offering high-impact work on inflation options, caps/floors, and related volatility products. You’ll join a collaborative Quant team focused on robust, explainable, and performant solutions that shape trading strategies.
Pay / Benefits
- discretionary annual bonus
- 12.5% salary employer contribution to pension (up to 12.5%)
- 30 days holiday + bank holidays (31 after 5 years)
- Company funded private medical insurance
- family health benefits and discounted private medical cover
- life insurance and income protection insurance options
Responsibilities
- Design, develop, and maintain models and analytics for inflation derivatives (e.g., inflation revenue swaps, YoY swaps, LPI swaps, caps/floors, inflation-linked options)
- Enhance inflation curve construction methodologies (bootstrapping, interpolation, extrapolation, seasonality adjustments)
- Build pricing, risk, calibration, and scenario analytics for inflation and rates products
- Support pricing and calibration models for inflation options and volatility analytics
- Collaborate with traders, structurers, risk managers, and model validators to ensure accuracy and robustness
- Implement and test new models in production analytics libraries using Python, C++, and/or Rust
- Monitor and improve performance, stability, and accuracy; troubleshoot production issues
- Produce model documentation and present methodologies and results to stakeholders
- Stay current with academic literature, market practice, and regulatory expectations in inflation modelling and pricing
Key requirements
- Extensive quantitative experience in a bank, asset manager, or similar financial markets environment with exposure to inflation products
- Front-office or trading-aligned experience with options modelling
- Advanced degree in a relevant field (e.g., Financial Mathematics, Engineering, Applied Mathematics, Physics, Computer Science)
- Strong knowledge of interest rate and inflation derivatives modelling, including inflation options and caps/floors
- Experience with inflation/rates curve construction, bootstrapping, interpolation, seasonality adjustments, and calibration techniques
- Proficiency in Python and/or C++ with numerical libraries (NumPy, SciPy, pandas)
- Familiarity with model validation, documentation, and regulatory model risk requirements
- Experience with automated testing, CI/CD, and Git
- Strong communication skills to explain complex modelling to both technical and non-technical audiences
- Desirable PhD in a related field
- Experience with inflation volatility modelling, YoY/ revenue/ LPI swaps, and real-money inflation markets
- Knowledge of Rust or C++ for performance-critical analytics
- Familiarity with production quant libraries and large-scale analytics platforms
- Collaborative
- Commercially minded
- Proactive
- Python
- C++
- Rust
Vice President - Inflation Quant | SCIB in London employer: Grupo Santander
At Santander Corporate & Investment Banking, we pride ourselves on being an exceptional employer that values diversity and fosters a collaborative work culture. Located in the heart of London, our team enjoys a competitive benefits package, including generous holiday allowances, tailored pension contributions, and comprehensive healthcare options, all designed to support both personal and professional growth. We empower our employees to thrive by providing opportunities for development and encouraging innovative thinking, making us a rewarding place to build a meaningful career in global banking.
