Senior Quantitative Analyst (Front Office FX/Rates)
Multiple front office quant roles - Seeking candidates with a minimum 4 years derivative pricing experience and good coding skills (C++/C#)
Summary about this job
Stockbroking & Trading
Company: Bluefin Resources Pty Limited
Location: Sydney
Work type: Full Time
Salary: n\a
Phone: +61-8-5053-1103
Fax: +61-7-5167-5572
E-mail: n\a
Site: n\a
Detail information about job Senior Quantitative Analyst (Front Office FX/Rates). Terms and conditions vacancy
- Global Banking Institution
- Rates, FX and XVA
- Senior Level Appointment - Associate Director and Director Levels
- Attractive Remuneration Package
An iconic banking institution, my client is seeking a front office desk quant to support trading, sales and I.T in the development of derivative pricing models for vanilla and exotic interest rates models. The candidate will be working with a team of desk quants within global markets. Based in Sydney, the global markets team covers London, Singapore, Bangalore and Sydney.
The applicant will be part of an independent team of quantitative modelling specialists responsible for the development of pricing functions. The team utilises a mix of academic and practical approaches to model development by drawing on current research within quantitative finance and existing models. There is an expectation to work and liaise with traders, other front office quants, IT support and regulators.
Most importantly, we are seeking analysts with strong experience in developing option pricing models for Interest Rates Options and or FX across linear and non-linear products. These can include but not limited to swaptions, Callable, Digital, Bermudans, TARN's etc. Lastly the candidate will also work with the XVA desk to build tools around FVA/CVA simulations
Ideal candidate will possess the following
- At least 5 years of experience in front office quantitative analytics with strong exposure to interest rates or FX products
- C++ programming skills. Any programming language will suffice so happy to speak to candidates with Python, C#, Java or C++ skills.
- PhD in a quantitative discipline such as mathematics, statistics, engineering, physics or computational finance.
- Strong and demonstrated derivative option pricing experience, this can include but not limited to Black Scholes, Hull White, Libor, GBM, SABR, Two Factor, etc.
For more information please contact Maria Shevelev at Bluefin Resources on 02 9270 2612
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