Lead Linear Rates Quant - NYC
Lead Linear Rates Quant - NYC
A leading global investment firm is seeking a highly skilled Linear Rates Quantitative Strategist to join their expanding team. This growth hire aims at advancing the firm's presence in the rates e-Trading space. You will lead a greenfield initiative to design and implement cutting-edge quantitative models and curve-building methodologies for linear rates products. The position offers the opportunity to develop real-time pricing and risk analytics, optimize performance for electronic trading platforms, and collaborate closely with trading desks and engineering teams to deliver high-impact solutions.
Job responsibilities include:
- Develop and implement innovative algorithms for constructing real-time curves within the C++ pricing framework.
- Calibrate curve outputs with prevailing market conditions to ensure accurate valuation.
- Collaborate with traders to track market movements and refine curve-building strategies for evolving requirements.
- Work alongside engineers to enhance performance and scalability for eTrading systems.
- Research and develop new models and techniques to improve computational efficiency and predictive accuracy.
Job requirements include:
- MS/PhD in a quantitative subject, Mathematics, Physics, Statistics, etc.
- 4+ years of industry experience in curve building and implementation.
- Expert level modern C++ programming skills
- Experience in supporting rates eTrading or Market Making trading desks
- Expertise in linear rates/rates curve modeling within C++ libraries.
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