Quantitative Researcher

Company: Aston carter
Location: London, UK
Industry: Financial Services, Aston carter, Banking and Financial Services, FX & Money Markets
Rate: 70000.0 - 100000.0 GBP Salary
Job Type: Permanent
ID: JP-002342326
Posted: 21 Sep 2021

Job Description:

A large UK bank is currently hiring someone with a strong quantitative background to work in a front-office role working specifically with pricing models and rates or FX & commodities.


Please carefully review the position requirements before submitting an application for consideration.


Description:


A large UK bank are currently hiring someone to work in the front-office in a quantitative capacity. The main responsibilities will be working with front-office pricing models with a main focus on Rates or FX & Commodities.


The current book of work is the decommissioning of the LIBOR benchmarks and their replacement by new Risk-Free Rates system and will need a major rethink of the current models. As part of this push, the successful applicant will be required to work on the pricing of new products and the design &maintenance of the associated curves and volatility surfaces. There will be significant modelling as well as software design and development work, as existing frameworks will need adjustments to support the new paradigm. In addition to this strategic project, the candidate will offer support to business activity encompassing Trading, Finance, Risk, regulatory projects and Capital Management.


Specifically, the role will involve development within the in-house Quant Library code base in C++. The candidate will have continuous interaction with the broader quant team, as well as FO Trading, Market Risk, Finance, Project management, Model Validation and IT.


Quantitative Finance

•Product knowledge of linear and options rates products, with Inflation, Credit or FX being a plus;

•Understanding of multi-tenor interest rate curve construction and CSA aware pricing;

•Understanding of stochastic volatility models and calibration of rates models;

•Strong analytical and numerical skills, including practical knowledge of stochastic calculus, and knowledge of implementing pricing analytics;

•Appreciation of computational requirements of pricing algorithms - basics of numerical PDE solvers, Monte-Carlo, early exercise by regression (e.g. Longstaff-Schwartz).


Software Development

•2 to 5y development experience in a large quant library with front office focus;

•Strong practical software engineering, experience in C++, with strong capacity for abstraction, design skills, and appreciation of architecture of quant libraries.

•Exposure to Python as a data analysis tool.


Qualification

•Post-graduate education (PhD, MSc or equivalent) in a highly quantitative subject (such as Maths / Financial Maths, Physics or Engineering) is required.

Is this you?

•Ability to communicate sophisticated ideas with transparency;

•Multifaceted attitude with an ability to easily switch from one task to another as priorities change, and continue to work in a collaborative way throughout;

•Strong attention to detail as accuracy is of essence;

•A standout colleague.


Skills:

    • C++ programming
    • C++
    • Qualitative research
    • Quantitative research
    • pricing
    • modeling
    • rates
    • validation
    • credit
    • FX
    • inflation
    • monte carlo simulation software

Job Title: Quantitative Researcher

Location: London, UK

Rate/Salary: 70000.00 - 100000.00 GBP Yearly

Job Type: Permanent



Trading as Aston Carter. Allegis Group Limited, Maxis 2, Western Road, Bracknell, RG12 1RT, United Kingdom. No. 2876353. Allegis Group Limited operates as an Employment Business and Employment Agency as set out in the Conduct of Employment Agencies and Employment Businesses Regulations 2003. Aston Carter is a company within the Allegis Group network of companies (collectively referred to as "Allegis Group"). Aerotek, Aston Carter, EASi, Talentis Solutions, TEKsystems, Stamford Consultants and The Stamford Group are Allegis Group brands. If you apply, your personal data will be processed as described in the Allegis Group Online Privacy Notice available at https://www.allegisgroup.com/en-gb/privacy-notices.

To access our Online Privacy Notice, which explains what information we may collect, use, share, and store about you, and describes your rights and choices about this, please go to https://www.allegisgroup.com/en-gb/privacy-notices.

We are part of a global network of companies and as a result, the personal data you provide will be shared within Allegis Group and transferred and processed outside the UK, Switzerland and European Economic Area subject to the protections described in the Allegis Group Online Privacy Notice. We store personal data in the UK, EEA, Switzerland and the USA. If you would like to exercise your privacy rights, please visit the "Contacting Us" section of our Online Privacy Notice at https://www.allegisgroup.com/en-gb/privacy-notices for details on how to contact us. To protect your privacy and security, we may take steps to verify your identity, such as a password and user ID if there is an account associated with your request, or identifying information such as your address or date of birth, before proceeding with your request. If you are resident in the UK, EEA or Switzerland, we will process any access request you make in accordance with our commitments under the UK Data Protection Act, EU-U.S. Privacy Shield or the Swiss-U.S. Privacy Shield.

Required Skills:

C++ programming,C++,Qualitative research,Quantitative research,pricing,modeling,rates

About Aston Carter:

Aston Carter has grown to become a preeminent global provider of top talent to businesses requiring highly specialised professionals focusing on Accounting & Finance, Change & Transformation, Compliance, Management Consulting, Operations and Risk & Regulation. Aston Carter’s global reach extends to 16 countries across Europe, Asia and North America – each with a firm focus on the core values that made Aston Carter the company it is today: Commitment, Character & Trust, Relationships, and A Passion for Excellence.

Contact Information:

Connor Taylor
contaylor@astoncarter.com
TEL :

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