Senior Macro Volatility Quant Developer

4 weeks ago


New York, New York, United States Selby Jennings Full time

A top Multi-Strategy Hedge Fund in the process of building out their Systematic Macro business is looking for a Senior Quant Developer. The ideal candidate is someone with strong Fixed Income experience with the ability to design and build a modeling/analytics library/platform to be shared across the business. Not only do they want this person to help create the road map on how to build a state-of-the-art fixed income library platform, but they will also lead growth efforts to assemble a team within the first year in the business. Eventually, they're looking to implement this infrastructure across the entire fund, so partnering with senior leadership and stakeholders on this initiative is imperative. This is an exceptional opportunity for someone with an entrepreneurial mindset to have autonomy over the entire build out and support from the fund's leadership team. The team is urgently looking to fill this spot and is eager to speak with qualified talent in the coming weeks.

Responsibilities:

  • Develop a Macro modeling and analytics library from scratch
  • Implement pricing models and tools across FICC products
  • Leads the development of infrastructure for linear, volatility, non-linear and exotic products
  • Partnering with portfolio managers, traders, stakeholders, risk and technology

Qualifications:

  • At least 7 years of experience on the buy-side of sell-side valuing non-linear fixed income products
  • Proficiency experience with Python, C++/C#, and/or Java
  • Expertise with SABR models, yield curve construction, and interest rate term structure models
  • Advanced degree in quantitative discipline

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