VP Quantitative Analyst

Overview

Join a client seeking an Interest Rate Derivatives Option Quant to help build and enhance the analytics library used for pricing and risk management. You will work closely with trading desks to develop risk tools and market-making models, applying advanced numerical methods, Monte Carlo simulations, and PDE solvers. You will implement and maintain quantitative models in C++ and Python, contributing to pricing and risk across the desk. This permanent London role offers exposure to scalable analytics in a collaborative, finance-focused environment.

Pay / Benefits

• bonuses
• onsite working
• permanent position

Responsibilities

• Develop and enhance analytics libraries for pricing and risk management of Interest Rate Derivatives
• Create, implement, and support quantitative models for trading, using diverse mathematical and CS methods
• Develop pricing models using numerical techniques (Monte Carlo, PDE solvers)
• Collaborate with Traders, Structurers, and tech professionals to deliver solutions

Key requirements

• Experience in a comparable quantitative modelling or analytics role in financial sector
• Experience with standard rates models (SABR, HJM) and products (Swaptions, CMS Caps)
• Excellent C++ and Python programming skills
• Statistics and probability-based calculations; design numerical schemes for complex financial instruments
• Strong understanding of software design and principles
• Clear and concise written and verbal communication skills
• Master’s or PhD in a relevant quantitative subject

• communication
• collaboration
• analytical thinking
• C++
• Python
• Monte Carlo methods

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