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Quantitative Analyst, Front Office Quant

  • Job type: Permanent
  • Location: New York
  • Salary: US$150000 - US$450000 per year
  • Job reference: 281641/007_1555099750
  • Sector: Selby Jennings, Quantitative Finance
  • Date posted: 12/04/2019

Responsibilities:

  • Researching and developing IR pricing models using C++
  • Supporting the FI trading desk on daily basis across vanilla and exotic IR derivatives
  • Maintaining the analytic engine for Interest Rates and Fixed Income products using C++

Key Qualifications:

  • 2+ years of experience as a front desk quant covering vanilla and exotic derivatives at a top firm
  • 5+ years of experience in the financial industry working across FICC products
  • Expertise in C++
  • Experience covering the following models - HJM, LMM, SABR, and Hull-White
  • Master's and/or PhD in Computer Science, Financial Engineering, Math, or related discipline
  • Great communication skills
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