Top US investment bank seeks associate level quant to join its IR/FX trading desk as a quantitative modeler in New York.

You will be challenged to research and develop mathematical models for highly exotic interest rate and foreign exchange derivatives for use by the trading desk. This position represents an excellent opportunity to move into an exceptional front office quant team who in recent years have seen a number of published models developed and seen the analytics library become one of the most efficient and complex in the market. You will be reporting into the head of IR/FX and Hybrids Analytics, as well as a senior trader, and will be challenged to work on a number of projects with other junior and senior quants, to support the trading desk and develop and maintain the analytics library.



You will be working on a broad range of products including: Strip of barrier options, Exotic range accruals, Volatility Swaps, Forward starting variance swaps, among others.



This is a highly mathematical role and as such the candidate will need a high level of mathematical modelling ability, with expert level stochastic calculus, stochastic volatility, advanced PDE’s, Black Scholes etc. The candidate will also have a significant level of experience in large scale Monte Carlo and Binomial tree simulations. The successful candidate will also have the ability to implement models in C++, and have a high level of familiarity with Excel.



The successful candidate may adhere to the following criteria:



Experience is necessary for this role (including internship experience), with sell side experience more desirable than a fund background.
You will have an excellent grasp of using financial mathematics in real world situations, and experience working on IR/FX models is a must.
A top academic background is key, as all of the team have PhD’s from top ten institutions in highly quantitative subjects, e.g. Computational Mathematics, Theoretical Physics, Pure Mathematics, Financial Engineering (Computer science is acceptable, however must be followed by a quantitative finance course).
A good grounding in programming is also key, with the main language on the desk being C++.
Excellent communication skills with fluency in English
The ability to work individually as well as a part of project based groups.


For more information and to apply please contact quantexotic@selbyjennings.com

http://www.selbyjennings.com

To apply: Contact: jobs@selbyjennings.com or 0207 019 4100

Selby Jennings is the foremost provider of recruitment solutions to global financial institutions across Europe, the US, Asia and the Middle East.

We work with a diverse range of clients, including investment banks, hedge funds and fund of funds, asset management, M&A, corporate finance and private equity financial consultancies and trading houses.

Covering both contingency and retained recruitment services, we offer our clients an industry leading marketing driven operation, as well as a search and selection service to ensure we access the best and most relevant pool of candidates for every assignment.

Please call a member of the team on 0207 019 4100 to find out more.