Front Office Pricing Modelling Quant - Rates Volatility

• Design and develop Rates Volatility models within QRT’s derivatives pricing library
• Build and implement pricing models covering vanilla through exotic Rates products, including swaptions, Bermudan swaptions, caps and floors, and CMS
• Research, prototype and calibrate models including SABR, LGM and Cheyette
• Apply numerical methods including Monte Carlo and PDE techniques to pricing and model development
• Contribute to model documentation, validation and test coverage
• Collaborate with Traders and Quantitative Researchers on model development and trading requirements
• Work with technology and risk stakeholders to integrate models into production pricing infrastructure

• 10 to 15 years of experience as a Front Office Pricing Quant, with deep expertise in Rates Volatility
• Strong experience pricing Rates products across vanilla and exotic structures
• Experience with swaptions, including Bermudans, caps and floors, and CMS
• Strong knowledge of Rates Volatility models including SABR, LGM and Cheyette
• Experience applying Monte Carlo and PDE methods to derivatives pricing
• Strong understanding of derivatives pricing theory and stochastic processes
• Proven experience working directly with Traders on model development and calibration
• Advanced degree in Mathematics, Physics, Engineering, Computer Science or another quantitative discipline
• Strong C++ development skills, with knowledge of modern C++ beneficial
• Experience with algorithmic adjoint differentiation is beneficial
• Strong communication skills and a pragmatic, collaborative approach
• Willingness to mentor junior colleagues and contribute to knowledge sharing

QRT is an equal opportunity employer. We welcome diversity as essential to our success. QRT empowers employees to work openly and respectfully to achieve collective success. In addition to professional achievement, we are offering initiatives and programs to enable employees achieve a healthy work-life balance.  #LI-DNI