Exotic Rate Model Quant - VP Level | 12-Month Contract
The Opportunity
A leading global bank with a prominent rates franchise in Paris is seeking a senior model quant to join its Exotic Rates quantitative research team on an initial 12-month contract, with the option to convert to a permanent position at the end of the engagement. This is a high-impact individual contributor role working in close partnership with the rates trading desk, focusing on the development and enhancement of cutting-edge pricing models for exotic interest rate derivatives. The team operates at the intersection of mathematical rigour and commercial delivery, supporting one of Europe's most active exotic rates businesses.
Role Overview
Seniority: VP / Senior Quant Location: Paris, France Contract Type: 12-Month Contract After Initial Term: Permanent Option Available Asset Class: Exotic Interest Rates Team: Quantitative Research / FO Quant
What You Will Do
- Design, develop, and validate pricing models for exotic interest rate derivatives, including CMS products, Bermudan swaptions, callable structures, range accruals, and other complex payoffs
- Implement and calibrate numerical methods, with a particular focus on Monte Carlo simulation techniques, including variance reduction, quasi-Monte Carlo, and efficient Greeks estimation
- Enhance and maintain the team's model library, ensuring models are production-ready, well-documented, and aligned with risk and valuation standards
- Collaborate closely with rates traders to ensure models accurately reflect market dynamics and meet the desk's hedging and pricing needs
- Contribute to model risk management processes including independent model validation support and documentation
- Research and implement advances in rate modelling, staying current with academic literature and market best practice
- Develop tooling for volatility surface construction, curve calibration, and risk sensitivities across multi-curve frameworks
Required Experience
- Significant front office or model development quant experience, with a focus on interest rate derivatives
- Deep expertise in exotic rates pricing: Bermudan swaptions, CMS and CMS-linked products, callable bonds, snowballs, or equivalent structures
- Strong command of numerical methods, particularly Monte Carlo simulation (quasi-MC, variance reduction, pathwise/adjoint Greeks)
- Solid experience with short rate and term structure models: quasi-Gaussian, HW2F, SABR, LMM variants, or similar
- Proficiency in C++ and/or Python in a quantitative modelling context
- PhD in Mathematics, Physics, Financial Engineering, or a related quantitative discipline
Advantageous Skills
FMM / Forward Market Models, Stochastic Local Volatility, Multi-curve Frameworks, IBOR Transition / SOFR, AAD / Adjoint Methods, PDE Methods, Murex / Summit, QuantLib, XVA Awareness
The Ideal Candidate
You combine strong theoretical foundations with a pragmatic, delivery-oriented mindset. You are comfortable working autonomously on complex model development while communicating effectively with traders and risk stakeholders. Experience within a Tier-1 bank, hedge fund, or comparable quantitative environment is expected. Candidates who can demonstrate hands-on FMM model development experience will be of particular interest. Fluency in French is not required; the team operates internationally.
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