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Fixed Income Derivative Pricing Quant

  • Job type: Permanent
  • Location: San Francisco
  • Salary: $200000 - $300000 per annum
  • Job reference: MACS0417
  • Sector: Banking and Finance, Quantitative Finance, Selby Jennings
  • Date posted: 17/04/2018

Summary for Fixed Income Quant

The head of a quantitative analyst at a major financial institution in the San Francisco Bay area has just undertaken a greenfield initiative to add quantitative methods to a high performing business portfolio within the organization.Due to the green field aspect of this initiative, you will  be tasked with 360 model development and implementation of the models but also a significant amount of industry research.

Given the nature of the position, they are ideally targeting  idea generators and candidates that have worked in a Front Office Fixed Income derivative pricing team.

Responsibilities of Front Office Fixed Income Quant
  • Conduct industry research and idea generation for new fixed income trading strategies
  • Develop and implement new fixed income derivative pricing models in C++.
  • Maintain pricing models that enable hedging of multi-callable range accrual swap, inverse/capped floater based on PDE/MC
  • Manage portfolio risk by testing and deploying the new strategies.
Qualification for Front Office Fixed Income Quantitative Analyst
  • Applied experience working on a Front Office Fixed Income team
  • Ph.D in a Quantitative discipline (Physics, Mathematics, Statistics, Computer Science, etc.)
  • Strong Object Oriented Programming skills (C++)
  • Expertise in Monte Carlo Simulation, Stochastic Calculus & Partial Differential Equations.
  • Perfect written and verbal communication
If interested please apply below with an updated resume and a member of the team will reach out.



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