Top tier investment bank is seeking an experienced Interest Rate derivative quant to join its Vanilla and Municipals desk in New York.

The candidate must have experience dealing with the front office and must have very good knowledge of term structure models, option models (SABR, ...), numerical methods. An excellent level of financial mathematics and simulation is very important. The candidate must also be able to program in C++. The person must have experience in the municipals space.

Qualifications:
• A top academic background to PhD, MSc in a highly quantitative discipline
• Excellent level of financial mathematics, stochastic calculus, advance PDE’s, Monte Carlo Simulations etc.
• Proficient in C++/C, Java, Matlab.
• Excellent communicator. Ability to discuss complex mathematics in concise and clear way.

To apply or for more information, please quantexotic@selbyjennings.com , +44 (0) 207 019