Interest Rate Desk Quant
Millar Associates
London
2d ago

KEY RESPONSIBILITIES :

  • Developing pricing models and hedging analytics for existing and new products
  • Developing FO analytics for curve marking, trade pricing, and risk monitoring
  • Support traders across Rates Trading with their valuation & hedging questions
  • Enabling rapid new product introduction through tactical solutions
  • Implement models into the common C++ Library, FO booking system
  • KEY SKILLS :

  • Strong experience in interest rate curve construction including rates, inflation & bond products pricing
  • Strong programming in C++ & Python
  • Strong analytical and problem solving skills
  • Strong quant experience with Linear Swaps with the major curves : Dollar, Euro, Sterling
  • Masters or PhD in Maths, Financial Engineering, Physics, Comp Sci, or other quantitative discipline
  • Enabling rapid new product introduction through tactical solutions
  • Providing analytic contents in joint projects with risk management and technology groups
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