Vice President Rates Quant
We are currently partnered with the Global Head of Rates Quants at a tier one Investment Bank who is looking to expand his team in 2026. He is seeking an experienced quantitative analyst at the Vice President level to join a high-impact desk focused on Interest Rates Derivatives. They are open to candidates focused on either Liner or Non-Linear rates products.
The ideal Linear candidate will have 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.
The ideal Non-Linear Candidate will have experience in swaptions, interest rate caps and floors with embedded optionality, collars, digital options, range accruals, and CMS (constant maturity swap) options.
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
- MUST HAVE Strong programming skills in both 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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