ITS City has a contract mandate in a front office quant team, supporting the Rates Desk in London. This is a rolling 6 month contract, paying a daily rate.
This team performs a critical function within the Bank’s Global Banking and Markets division. The derivatives pricing models and analytics developed by the team are used globally for pricing, hedging, risk management, trading limits and capital. Accuracy and performance of these models have a direct impact on competitiveness and profitability. Reliability and robustness of the analytics enable the business to view and hedge risks efficiently.
The desk works on:
- Rates and inflation swaps models, curve construction models
- Real time analytics used by the London rates business
- Quantitative support to the London rates and sales business
The background we seek:
- PhD or Master’s Degree in Mathematics, Computer Science, Software Engineering, Physics or other quantitative areas
- 4+ years’ experience in rates derivatives and inflation products and their pricing models
- Solid background in PDE, Monte-Carlo and stochastic calculus
- Strong programming skills in C++, experience with other programming languages such as Python, Java, or Scala
- Good communication and interpersonal skills and a team player
- Ability to work well in a fast-paced environment with changing priorities
Send your CV for immediate consideration. Email or call for more information:
0203 176 6648