Vice President/Director Rates Quantitative Analyst
We are partnered with a tier one IB whose Global Head of Rates Quants has secured headcount for 2026 and is expanding the team in New York. They are seeking experienced quantitative analysts at the VP or Director level to join a high-impact desk focused on Interest Rates Derivatives. This is a multiple headcount buildout for this team; they are looking to bring on two individuals with one focused on linear rates products and the other on nonlinear rates. On the linear side they are looking for individuals with experience in interest rate swaps, forward rate agreements (FRAs), interest rate futures, government bonds, floating rate notes (FRNs), corporate bonds, deposits, and loans, as well as vanilla caps and floors. On the nonlinear side they would like for the ideal candidate to have experience in swaptions, interest rate caps and floors with embedded optionality, collars, digital options, range accruals, and CMS (constant maturity swap) options. Both VP/Director level candidates are encouraged to apply.
Responsibilities:
- Develop, implement, and validate pricing and risk models
- Support traders with pricing, hedging, and risk management, delivering tools in C++
- Maintain and enhance pricing models for interest rate products and structured notes
- Build backtesting frameworks for volatility strategies
- Develop control volatility models for independent price verification
- Maintain and extend C++ and Python analytical libraries
Qualifications:
- 4+ years in quantitative modeling or analytics
- Advanced degree in Mathematics, Physics, Financial Engineering, or Computer Science preferred
- Strong programming skills in C++ and Python
- Experience with pricing libraries
- Background in E-Trading, Cheyette models, exotic derivatives, or structured notes highly desirable
- Excellent communication skills
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