Vice President, Quantitative Development
4 months ago
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
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