Front Office Interest Rates Quant (VP) in London

Wells Fargo is seeking a Vice President, Front Office Interest Rates Quant to join the Corporate & Investment Banking (CIB) division. In this role, you will be part of a front‑office quantitative team responsible for designing, developing, and implementing advanced models that support the risk management, pricing, and trading of interest rate products. You will work across a wide range of linear and non‑linear rates products, including structured rates and hybrid instruments, with a particular focus on term‑structure and volatility modelling frameworks. This includes methodologies such as SABR, single‑ and multi‑factor Cheyette models, and Quadratic Gaussian models. This position plays a key role in a strategic initiative to develop next‑generation quantitative models and integrate them into a unified, cross‑asset risk and trading platform. Success in the role requires close partnership with traders, technology teams, and quantitative specialists across asset classes.

Key Responsibilities:

• Design, develop, and implement quantitative models for linear and nonlinear interest‑rate products, structured rates and hybrids for desk pricing and risk management.
• Build and enhance pricing and risk analytics, including curve construction and volatility cube calibration for trading and risk‑management applications.
• Deliver arbitrage free SABR with wing extension for risk management of swaptions and CMS.
• Develop and calibrate stochastic term structure models like single and multifactor Cheyette or Quadratic Gaussian in a multi-curve framework.
• Transition to new optimization-based curve engine.
• Deliver high-quality models and code, model documentation and testing.
• Production integration of models for daily PL, Risk, PL explains and into spreadsheet tools.
• Provide model support to the trading desk, including troubleshooting and enhancements.
• Partner effectively with Business Stakeholders, Sales & Trading, Technology, Model Validation and Project Management teams.

Required Qualifications:

• Experience in quantitative analytics for interest rate / macro products or equivalent.
• Experience in Securities Quantitative Analytics, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education.

Desired Qualifications:

• Strong hands-on coding experience in C++ and Python. Experience with Java is a plus.
• Deep understanding of derivative products and markets, particularly in interest rates.
• Experience with modeling, calibration, risk management and pricing of linear and structured rates products: swaps, rates and bond futures, swaptions including non standard (zero coupon, accreters), cap/floor, Bermudan callables, CMS, CMS spread, range accrual, cross currency swaps, inflation and hybrids.
• Expertise in term structure modeling, stochastic funding and volatility modeling, including SABR, Cheyette, Quadratic Gaussian, and related frameworks (LGM, BGM, HW model) for single and cross currency.
• Experience with optimization‑based curve engine or designing hedge curve risk templates. Familiarity with instrument and index market conventions across developed or emerging markets.
• Proven experience working with Sales and Trading as a front office quant.
• Excellent verbal, written, and interpersonal communication skills.
• Master's or PhD in Mathematics, Physics, Engineering, Computational or Quantitative Finance or a related technical field.
• Experience in FX options or hybrids.