Top tier US investment bank is currently seeking a strong quantitative modeler to work on the IR products desk in London.

The bank is at the forefront of the market, with the largest and most profitable trading operation globally, and this is an excellent opportunity to take the step up to a top tier firm.



The candidate will work in Designing, Implementing, and Supporting Pricing and Risk-Management Models. The product set is Swaps [Vanilla, Basis and Cross-Currency Basis], Repo, Commercial Paper, and Supra/Agcy/Government Bonds. The team is responsible for both daily and real-time systems for Pricing and Risk.



Example projects:

• New Derivatives Pricing models to incorporate Credit, Funding and Balance Sheet considerations.

• New Models for real-time Swap and Bond pricing.

• Working with traders to incorporate additional market-microstructure into the models.

• Optimizing performance of existing systems



Experience/Skills:



The candidate should have a strong scientific background and excellent programming skills.

Successful applicants will relish the opportunity to take on a high level of responsibility from day one, and will enjoy working on the trading floor in a fast moving environment.

Ability to quickly assimilate, understand and extend existing systems to cope with new concepts/products is essential.

Strong Commercial Instincts will be required in day-to-day prioritisation.



• Swap Pricing and Bond Analytics

• Linear & Non-Linear Optimization Techniques

• Stochastic Calculus

• C++, C

To apply or for more information, please contact quantexotic@selbyjennings.com

www.selbyjennings.com, +44 (0) 207 019 4137