Front Office Pricing Modelling Quant - Rates Volatility

The role

You will design and develop Rates Volatility models within a derivatives pricing library. You will work with Traders and Quantitative Researchers across the full model lifecycle from research to production integration.

What you will do

• Design and develop Rates Volatility models within QRT's derivatives pricing library
• Build and implement pricing models covering vanilla through exotic Rates products
• Research, prototype and calibrate models including SABR, LGM and Cheyette
• Apply numerical methods including Monte Carlo and PDE techniques to pricing and model development
• Contribute to model documentation, validation and test coverage
• Collaborate with Traders and Quantitative Researchers on model development and trading requirements
• Work with technology and risk stakeholders to integrate models into production pricing infrastructure

Required qualifications

• 10 to 15 years of experience as a Front Office Pricing Quant, with deep expertise in Rates Volatility
• Strong experience pricing Rates products across vanilla and exotic structures
• Experience with swaptions, including Bermudans, caps and floors, and CMS
• Strong knowledge of Rates Volatility models including SABR, LGM and Cheyette
• Experience applying Monte Carlo and PDE methods to derivatives pricing
• Strong understanding of derivatives pricing theory and stochastic processes
• Proven experience working directly with Traders on model development and calibration
• Advanced degree in Mathematics, Physics, Engineering, Computer Science or another quantitative discipline
• Strong C++ development skills
• Strong communication skills
• Pragmatic, collaborative approach
• Willingness to mentor junior colleagues and contribute to knowledge sharing

Nice to have

• knowledge of modern C++
• Experience with algorithmic adjoint differentiation

Benefits

• initiatives and programs to enable employees achieve a healthy work-life balance

About the company

Qube Research & Technologies (QRT) is a global quantitative and systematic investment manager, operating in all liquid asset classes across the world. It is a technology and data driven group implementing a scientific approach to investing.