Quantitative Researcher - Rates

Overview

Quantitative Researcher – Rates at Millennium. Join to apply for the Quantitative Researcher – Rates role as part of the Quant Technology team under the Fixed Income & Commodities Technology (FICT) group. The team will develop and maintain in-house pricing libraries to support trading in Fixed Income, Commodities, Credit, and FX.

Responsibilities

• Work closely with Quants in London, Geneva & New York to maintain and develop cross-asset pricing and risk libraries
• Collaborate with the business and other Quants to deliver pre-trade, pricing and risk analytics tools for Foreign Exchange

Requirements

• Previous experience developing pricing/valuation models for Linear Rates, including interest rate curve construction, inflation modelling, derivative instrument pricing
• Experience with FX products, including vanillas and exotics (preferable but not essential)
• Strong knowledge of at least one numerical method: Monte Carlo, Finite Differences, Finite Elements
• Modern C++ professional programming experience (preferred)
• Experience supporting traders or portfolio managers on regular questions such as PnL/risk explain and/or pre-trade analysis tools
• Strong analytical and mathematical skills, problem solving, thoroughness and ownership of work
• Solid communication skills

Seniority level

• Entry level

Employment type

• Full-time

Job function

• Finance and Sales

Industries

• Investment Management

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