FI Quantitative Researcher (NYC Bank)

The Multi-Asset Quantitative Research group, a division of Fixed Income Quantitative Analysis is looking for a Quantitative Analyst for its London office.

The successful candidate will join a local team of 3 analysts (9 analysts globally) and be responsible for developing, maintaining and enhancing the firm's Global Commodities Desk's pricing and risk management models. A particular focus will be the support of our fast growing global Commodity and Hybrid exotic trading platform. Experience in supporting a derivatives trading desk is essential. Areas of expertise should be Commodities and Fixed Income and/or Equity Derivatives. Some exposure to Credit Derivatives would be valuable. Day to day job will include pricing and risk management of complex exotic products, helping with assessing and hedging the risk of new transactions, and looking at portfolio optimization ideas. The candidate should master term structure modeling and stochastic calculus, numerical methods such as Monte Carlo and PDEs, and statistical techniques. Integration to existing analytical libraries and trading systems will also be a major job requirement.


The successful candidate will have a PhD or a Masters degree, in addition to at least 1-2 years of relevant work experience. We are looking for an individual with strong quantitative skills, expertise in various markets, strong programming skills, particularly C/C++, and excellent communication skills.


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