A prominent financial Institution is seeking a Vice President, Quantitative Development to lead their Fixed Income Embedded Quantitative Development team. This person will assist with building, optimizing cross-asset pricing models, and working with a variety of trading, valuation, and risk management tools.
Salary: Base up to 250k, total comp up to $330K
Location: Boston, MA (2 days/week)
Visa sponsorship IS AVAILABLE
Responsibilities:
Build new and enhance current pricing and risk models for cross asset instruments and derivatives.
Participate in the full model development lifecycle including reference data and time-series data acquisition, system integration, testing, and release.
Refactor and redesign existing code to improve performance and increase usefulness and maintainability.
Conduct quantitative analysis of the current markets, trends and trading strategies
Design and build the next generation of real-time pricing, risk, and scenario analysis systems
Qualifications:
PhD in Computational Finance, Computer Science, Mathematics, Physics or closely related degree
10+ years’ experience in building financial models and tools in C#/C++/Java
Knowledge of linear and non-linear products such as swaps, swaptions, Cap/Floor, contingent options, Digitals, Bonds, asset swaps, etc.
Results-driven, proactive team player with on-time delivery
Strong trouble-shooting skills under time constraints
Skills:
Experience with interest rate curve building and SABR volatility model
Experience with SQL, Python, and Excel/VBA
Experience with ORM tool, web service, and C# GUI
Seniority level
Mid-Senior level
Employment type
Full-time
Job function
Business Development and Sales
Industries
Staffing and Recruiting
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