Quantitative Specialist

4 weeks ago


New York, New York, United States Societe Generale Corporate and Investment Banking - SGCIB Full time
Job Summary

As a Quantitative Specialist at Societe Generale Corporate and Investment Banking - SGCIB, you will be responsible for designing and implementing pricing models for interest rate derivatives and hybrids. You will lead a small team of quantitative analysts, define tasks, and check their produced design documents, source code, and implemented testing.

Key Responsibilities

• Collaborate with interest derivative traders, financial engineering, structurers, and other stakeholders to understand business requirements when structuring new interest rate products and develop adequate pricing models, quantitative solutions, and/or adapt existing pricing models to address these requirements.

• Conduct quantitative research to enhance existing interest rate models, develop new methodologies for pricing, hedging, and risk management of interest rate derivatives, including derivatives on SG interest rate proprietary indices.

• Maintain the pricing libraries and the pricing tools used by the trading in the pre-trade for risk management and P&L estimation and provide adequate support to trading, sales, engineers, IT users, and risk validators in their use of these tools.

• Lead the effort of the quant team to support rate algorithmic trading to help trading in data cleaning, data analysis, analysis of existing algorithms, and in the improvement of statistical models and in designing new rate strategies.

Requirements

• Proficient in pricing a wide range of interest rate derivatives, including Caplets, Floorlets, Swaptions, Range Accrual Options, Cancellable Swaps, Bermudans Swaptions, Double Range Accrual Options, CMS Options, Bond Options, Bond Futures Options, Listed Futures Options, and T-Locks.

• Strong understanding of Interest Rate Linear and Vanilla Derivatives, such as Swaps, Futures, Forwards, Forward Swaps, Swaptions, Caps, Floors, and Bond Forwards.

• Experienced in working with Exotic-Rate Models such as Hull & White (HW) Model, HJM Model, BGM Model, and implemented them for pricing Interest Rate exotic products.

• Proficient in mathematical methods applied to finance, including Monte Carlo and variance reduction, Differential Equations and Grid Backward/Forward Solving, optimization algorithms such as Gradient Descent, and interest rates curves stripping methodologies.

• Deep understanding of interest rate volatility surface structure, calibration, and SABR model, with the ability to maintain calibration and address arbitrability from volatility smiles.

• Proficiency in programming languages, including C# and Python, with a minimum understanding of C++, and experience in developing within a pricing library in a code sharing platform.

Education and Experience

• Master's degree in Financial Engineering and Mathematics.

• 5+ years of experience in similar roles, Quantitative analysis in Financial institution, investment banking, Hedge fund, etc.

  • New York, New York, United States Bloomberg Full time

    Job Title: Quantitative Risk Modeling SpecialistJob Summary: We are seeking a highly skilled Quantitative Risk Modeling Specialist to join our team at Bloomberg. As a key member of our Quantitative Analytics team, you will be responsible for researching, designing, and implementing statistical and machine-learning models to estimate liquidity risk.Key...


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

    Quantitative Risk Modeling SpecialistWe are seeking a highly skilled Quantitative Risk Modeling Specialist to join our team at Selby Jennings. As a key member of our client-facing Quantitative Risk Analytics team, you will be responsible for developing and enhancing risk factor models and performance analytics, analyzing and executing hedge strategies and...


  • New York, New York, United States The Goldman Sachs Group, Inc Full time

    Job DescriptionAt Goldman Sachs, we're seeking a talented Quantitative Modeling Specialist to join our team. As a key member of our quantitative team, you'll be responsible for developing and implementing advanced mathematical models to analyze and optimize financial markets.Key Responsibilities:Design and implement complex mathematical models to analyze and...


  • New York, New York, United States GMS Advisors Full time

    GMS Advisors is seeking a highly motivated and detail-oriented Quantitative Researcher - NLP Specialist to join our NLP Team.This exciting role will provide you with the opportunity to deploy state-of-the-art NLP technologies to make a lasting impact on the firm's data and investment processes.As a Quantitative Researcher - NLP Specialist on our NLP Team,...


  • New York, New York, United States Anson McCade Full time

    About the RoleWe are seeking a highly skilled Quantitative Trading Specialist to join our team at Anson McCade.The ideal candidate will have a strong background in mathematics and statistics, with expertise in statistical models and signal generation.Responsibilities will include developing and building out systematic trading strategies on one or more...

  • Quantitative Trader

    4 weeks ago


    New York, New York, United States Deutsche Bank Full time

    Job Title:Quantitative TraderDeutsche Bank is seeking a highly skilled Quantitative Trader to join our Fixed Income & Currencies Quantitative Trading team.As a Quantitative Trader, you will be responsible for designing cutting-edge proprietary quantitative models that drive our trading systems, overseeing day-to-day risk and operations, and optimizing client...


  • New York, New York, United States Bank of America Full time

    At Bank of America, we are guided by a common purpose to help make financial lives better through the power of every connection. Responsible Growth is how we run our company and how we deliver for our clients, teammates, communities and shareholders every day.We are seeking a highly skilled Quantitative Finance Specialist to join our team. As a key member of...


  • New York, New York, United States Quanta Search Full time

    We are seeking a highly skilled Quantitative Risk Analyst to join our Risk & Quantitative Research team at Quanta Search.The ideal candidate will have a strong background in statistics, math, and econometrics, with experience in quantitative investment research and a solid understanding of equity derivative modeling.The successful candidate will be...


  • New York, New York, United States Societe Generale Full time

    Job DescriptionWe are seeking a highly skilled Quantitative Specialist to join our team at Societe Generale. As a key member of our quantitative analysis team, you will be responsible for designing and implementing pricing models for interest rate derivatives and hybrids.Key Responsibilities:Lead a small team of quantitative analysts in designing and...


  • New York, New York, United States Societe Generale Full time

    Job DescriptionWe are seeking a highly skilled Quantitative Specialist to join our team at Societe Generale. The successful candidate will be responsible for designing and implementing pricing models for interest rate derivatives and hybrids, as well as leading a small team of quantitative analysts.Key Responsibilities:Design and implement pricing models for...


  • New York, New York, United States Caxton Associates Full time

    About the RoleCaxton Associates is seeking a skilled Quantitative Developer to join our team. As a Commodities Trading Specialist, you will work closely with a Portfolio Manager focused on Commodities, leveraging your expertise in data analysis and programming to drive investment decisions.Responsibilities:Compile, clean, and manage large datasets to inform...


  • New York, New York, United States Barclays Full time

    Job OverviewBarclays is seeking a highly skilled Quantitative Modeler to join our team in New York. As a Quantitative Modeler, you will be responsible for designing, building, and maintaining the infrastructure that underpins the development, deployment, and execution of risk models across the organization.Key ResponsibilitiesDesign and implement scalable...


  • New York, New York, United States Citigroup Inc Full time

    Job Summary:The Quantitative Analyst will be responsible for developing and implementing quantitative models for the trading business, leveraging a wide variety of mathematical and computer science methods and tools. This includes hardware acceleration, advanced calculus, C++, C#, .NET, Java, object-oriented software design, Python, kdb, Structured Query...


  • New York, New York, United States caia - Jobboard Full time

    Central Research Technology TeamWe are seeking a skilled Quantitative Analytics Developer to join our Central Research Technology team, which builds strategic solutions for research and live trading of quantitative strategies across multiple frequencies and products.Key Responsibilities:Developing re-usable and performant C++ libraries for macro instrument...


  • New York, New York, United States Sumitomo Mitsui Financial Group, Inc. Full time

    Job SummarySumitomo Mitsui Financial Group, Inc. is seeking a highly skilled Quantitative Risk Specialist to join our team. As a key member of our risk management department, you will be responsible for creating and implementing risk models to identify and mitigate potential risks across various business units.The ideal candidate will have a strong...


  • New York, New York, United States The Cypress Group Full time

    Job OverviewThe Cypress Group is seeking a highly skilled Quantitative Researcher to join our team in Midtown NYC.As a Prop Trader, we are looking for an expert in options pricing models to focus on making our exotic options pricing model perfect.Key Responsibilities:- Develop and implement numerical analysis and applied mathematics techniques to improve our...


  • New York, New York, United States Quanta Search Full time

    Quanta Search is seeking a highly skilled Quantitative Analyst to join their Algo Trading team at a world-leading hedge fund.Key Responsibilities:Develop and implement mathematical models for systematic financial trading strategies.Utilize financial data to enhance profitability, mitigate risk, and minimize transaction costs.Collaborate with the Algo Trading...


  • New York, New York, United States Hispanic Technology Executive Council Full time

    Job DescriptionWe are seeking a highly skilled Quantitative Analyst to join our Markets Quantitative Analysis team in New York City. The team is primarily responsible for providing data analysis, developing quantitative models for projecting prepayment and default rates, and developing related analytics to assist trading and risk management of the...


  • New York, New York, United States Assured Guaranty Full time

    Assured Guaranty is seeking a highly skilled Risk and Quantitative Specialist to join the Economic Capital and Portfolio Risk Management Group in the Risk Management Department.Key Responsibilities:Modeling and analysis of credit risk and data in the financial guaranty marketDevelopment of internal credit risk tools from the economic capital perspective...


  • New York, New York, United States Tardis Group Full time

    Position: Trade Execution / Trading Operations SpecialistLocation: New York The Tardis Group is a leading proprietary trading firm that leverages a rigorous scientific and mathematical approach to generate superior trading strategies. With a proven track record in both long and medium-duration strategies, they are at the forefront of quantitative finance,...