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Quant Researcher - Interest Rates (E-Trading)

this job appointment has expired

Location United States,

Remuneration Competitive

Employment type perm

Updated 10th Jan 2018

Company Selby Jennings

Contact Jenna Kim (NY)

Phone (646) 759-5605

Email click here

One of our clients is a top tier investment bank based in NYC that has an active mandate to build out its front office trading desk that specifically focuses on interest rates derivatives. As a result, the desk is looking to bring on a quantitative researcher to assist the traders with full life cycle model development of interest rate models (exotic and vanilla), derivative pricing and optimization. In addition, the quantitative researcher will also be responsible for supporting a recently launched electronic options market making strategy.

Responsibilities will include:

  • Model research and specification in order to rapidly prototype models and IR products.
  • Working to create strategies for their new electronic trading platform focusing on non linear IR derivatives.
  • Providing quantitative support for the trading desk and working with traders in defining model behavior and predictions, identifying potential risk, and carrying out scenario analysis.
  • Developing pricing and calibration tools for IR products as well as benchmarking and comparing various techniques.

Requirements include:

  • Amazing academic background from a top tier academic institution, majoring in a Quantitative field. Masters or Ph.D.'s required.
  • Strong C and Python skills.
  • Prior experience working with IR products preferred.
  • Experience in electronic trading is a plus.

If this position sounds like something of interest to you, please send an updated resume to and I will reach out shortly.

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