Quantitative Hybrid BREXIT - Contract - FS - London

Job Title: Quantitative Hybrid BREXIT - Contract - FS - London
Contract Type: Contract
Location: London, England
Salary: £600 - £650 per day
Start Date: ASAP
Reference: BBBH19185_1532704416
Contact Name: Jack Antcliffe
Contact Email:
Job Published: July 27, 2018 16:13

Job Description

Quantitative Hybrid BREXIT - Contract - Financial Services - London

A Tier 1 Investment Bank is seeking a Quantitative Analyst to join their London Quant Development team which is charged with the development of models, pricing tools and system integration of all exotic models used in the firm, on all asset classes.
The successful quantitative analyst will undertaking a project to expand its vanilla interest rate derivatives platform to support a new European entity.

Key responsibilities:-

  • Pricing and risk management support to flow interest rate traders
  • BAU development of pricing and risk management tools
  • Analysis of sensitivities (delta, vega, gamma, theta) etc
  • Analysis of trade representations
  • Testing and validation of the results
  • Documentation
  • Supporting the new location remotely after go live
  • Support, configuration and set up of existing pricing tools for staff at the new location
  • Support the London vanilla interest rate desk with regards to inception pricing risk management curve construction queries

Key skills and experience:-

  • Experience in production front office valuation tool support
  • Knowledge of curve construction
  • Knowledge of pricing of vanilla interest rate products (swap, deposit future, bond, bond future, swaption, deposit future option, bond option)
  • Experience with Excel/VBA
  • Good development skills (C# or C++)

If of interest please do not hesitate to call me on 02031894298 or email me back on