We are working with a large hedge fund that is looking for an Interest Rate Quant Researcher. The firm in the process of rebuilding their entire trading platform, including for modeling for pricing/valuations, strategy development and trade execution. The candidate will work closely with PMs and traders supporting discretionary and systematic trading strategies. You will also work closely with software engineers to maintain their analytics libraries. The role will focus on Rates initially and will move into other products areas over the next 1-2 years.
1) MS with PhD preferred in a quantitative discipline
2) 3 - 10 years of quant modeling experience. Ideally buy-side experience but will consider front office sell-side desk quant experience
3) Candidates must have deep understanding of pricing, modeling and valuation of all Rates products (bonds, swaps, vol, swaptions, bond options, exotics etc). Basic to advanced understanding of all Credit products are preferred.
4) Professional experience with C++, Excel, VBA. Additional languages are a plus
5) Stochastic calculus, probability/statistics, linear algebra
6) Some experience with relative value strategies and other trading strategies
This role is highly competitive and compensation will be competitive to the street. Only qualified applicants will receive a response.