Linear Rates Quant Developer
City of London, London
SThree
leveraging fast optimizers and algorithmic automatic differentiation (AAD). ? Develop and maintain yield curve modelling frameworks for pricing and risk management of linear interest rate products (swaps, bonds, futures) and cross-currency swaps. Engage in strategic discussions with senior management and business leaders to enhance international … definition of the project scope, trading desk requirements and stakeholder engagement as part of the global markets division's drive to expand exotic interest rate derivatives revenue. ? Implement local volatility multi-factors short rate model (qGM) that used parallel Monte Carlo simulation, pathwise differentiation More ❯
Employment Type: Permanent
Salary: £150,000 - £160,000
Posted: