The Interest Rate Derivatives group of top financial firm in NYC is looking for a front office quantitative analyst to join their research and development team. The position is a highly quantitative modeling role, with strong background in stochastic calculus, Monte Carlo engines for interest rate derivatives, LIBOR market modeling, numerical methods, PDEs, SDEs and exceptional programming in C / C++. The right applicant must be experienced in high level computational mathematics including Trees, Monte Carlo Simulation, Finite Difference Methods and other numerical methods, also experienced in interest rate option modelling – HJM, tree, smile, volatilities with strong interest rate derivatives product knowledge, callable, knock-out, path-dependent.

 Ideal candidate would have 3+ years industry experience in IR derivatives research and implementation from a previous position in a top quant team and experienced in models for interest rate derivative and hybrid (IR/FX, IR/Credit, IR/Equity) products.

The candidate should have a top qualification from a highly quantitative subject such as Mathematics, Physics, Computer Science / Engineering etc. The ability to work efficiently as a member of a team within a highly-pressured environment is necessary to excel within this first-rate team. As an important must be analytical and problem solving abilities. Please submit resume in word format to: dinka@martingaleinternational.com

To apply:

  Please submit resume in WORD format to dinka@martingaleinternational.com

Martingale International Search is an executive search firm established to offer a fresh approach to recruitment. We offer our clients a transparent service, our candidates an individual approach and our consultants a proactive working environment. We are specialized in the recruitment of people with strong mathematical, financial, quantitative and programming skills. Our practice is international and covers all major business areas including Finance, Financial Engineering, Software Engineering, Quantitative Modeling and Risk Management.