D, level – Rates Quant Modeller (Front Office)
Contract | Inside IR35 | ~£1,500/day
6-12 months with possible extention
This is a hands-on delivery role for someone with extensive experience designing, building and enhancing pricing models for Structured Rates Exotics. The team is specifically looking for someone who has built, owned or made significant contributions to exotic rates pricers and production pricing libraries within a Front Office environment.
This is an opportunity to make an immediate impact, joining a busy delivery programme where you'll work closely with Trading, Quant Research, Model Validation and Technology to develop and deliver complex pricing models into production.
The Role
Working as part of a high-performing Front Office Quant team, you will:
- Design, build and enhance pricing models for Structured Rates Exotic derivatives.
- Develop and improve production pricing libraries.
- Work with production C++ pricing libraries using Python.
- Assess pricing model assumptions, methodologies and documentation.
- Debug production code and implement model enhancements.
- Work closely with Trading, Quant Research, Model Validation and Technology throughout the model lifecycle.
- Support the delivery of pricing models through testing, documentation and governance.
Requirements
- 10+ years' experience in Front Office Quantitative Analytics.
- Proven experience designing, building or making significant contributions to Structured Rates Exotic pricers and pricing libraries is essential.
- Strong understanding of derivative pricing, stochastic models and risk-neutral valuation.
- Strong Python skills are required.
- C++ experience is highly desirable.
- Previous Front Office Quant or Model Validation experience.
- Degree in Mathematics, Financial Mathematics, Physics or another highly quantitative discipline.
The Opportunity
The successful candidate will be someone who is comfortable taking ownership of complex Structured Rates pricing models, working closely with Front Office stakeholders and delivering high-quality pricing solutions in a fast-paced trading environment.
This role would suit someone available immediately or on a short notice period.
If it's not for you, I'd really appreciate you sharing it with your network. I also offer a generous referral fee for successful introductions.