Vice President Rates Options Quant
A new senior hire has joined our client's NYC office to lead the expansion of their U.S. Rates Derivative Quant business. With over a decade of experience in the space, the hiring manager is now seeking a VP Level Quantitative Analyst to support the desk and help drive growth for this high-impact team. The role will cover the full spectrum of non-linear interest rate products-including swaptions, CMS, callable structures, and other exotics-and will involve close collaboration with the linear rates team while reporting directly to the Global Head of Rates.
The successful candidate will be responsible for developing and maintaining pricing and risk models, conducting scenario analysis, and supporting trading strategies through advanced quantitative research. This includes model implementation and validation, volatility surface modeling, curve construction, and Monte Carlo simulations. The hire will also deliver real-time analytics, risk metrics, and pricing tools to support the desk's decision-making and infrastructure development. This is an ideal position for someone eager to thrive in a fast-paced environment, with high visibility and a well-defined path to advancement.
Key Responsibilities:
- Model development, implementation, & validation
- Support traders with day-to-day pricing, hedging, and risk management, delivering tools and insights in C++
- Develop and maintain pricing models for a variety of interest rate derivatives
- Enhance models for non-linear products
- Build and maintain backtesting frameworks for volatility strategy teams
- Develop control volatility models for independent price verification
- Maintain and extend C++ and Python analytical libraries for pricing and risk
Qualifications:
- 4+ years of experience in a similar quantitative modeling or analytics role
- An advanced degree within a quantitative field (e.g., Mathematics, Physics, Financial Engineering, Computer Science) preferred
- Must have technical/programming skills in C++ and Python
- Experience developing in a pricing library
- Strong written and verbal communication skills
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