VP - Quantitative Analyst (Rates, Exotics)

Our client, a well- established global investment bank is looking to expand their business and is looking for a Senior Quantitative Analyst to join them.

This is a desk-facing role focused on quantitative research, model development, calibration and implementation of pricing methodologies across interest rate derivatives and exotic products. The role offers significant exposure to trading strategy development, new product innovation and complex risk analysis.

Open to candidates from other locations UK, US, HK with Visa sponsorship.

Key Responsibilities:

1. Develop, enhance and maintain quantitative models for pricing, risk management and valuation of Rates Options and Exotic Derivatives.
2. Research and implement advanced mathematical and statistical methodologies to improve pricing accuracy, hedging effectiveness and risk measurement.
3. Partner closely with traders and structurers to analyse market opportunities, evaluate trading strategies and support client-driven solutions.
4. Design and perform model calibration, parameter estimation and validation using market data and quantitative techniques.
5. Conduct in-depth quantitative research into market dynamics, volatility behaviour and relative value opportunities across interest rate products.
6. Support the development of new products and structured solutions by providing quantitative analysis and modelling expertise.
7. Explain model assumptions, limitations and outputs to trading, sales, risk management and senior stakeholders.
8. Contribute to the ongoing enhancement of the desk’s pricing and risk framework, ensuring consistency with industry best practices and regulatory expectations.
9. Collaborate with technology teams to ensure robust implementation of quantitative models within strategic trading and risk management platforms.
10. Produce clear technical documentation covering model design, calibration methodologies, validation results and implementation approaches.

Required Experience & Qualifications:

1. Master's degree or PhD in Mathematics, Physics, Statistics, Financial Mathematics, Engineering or a related quantitative discipline.
2. Minimum 6+ years of Front Office Quantitative Analytics experience within a leading investment bank, hedge fund or quantitative trading environment.
3. Strong experience in modelling and pricing interest rate derivatives, options and structured/exotic products.

Proven experience in one or more of the following areas:

1. Interest Rate Exotics
2. Credit-Interest Rate Hybrids
3. FX-Interest Rate Hybrids
4. Equity-Interest Rate Hybrids
5. Strong understanding of stochastic modelling, derivative pricing theory, numerical methods and risk analytics.
6. Experience developing and calibrating pricing models for complex derivatives and structured products.
7. Proficiency in Python and C++ sufficient to develop, test and implement quantitative models.
8. Strong understanding of model validation, calibration techniques and quantitative research methodologies.
9. Ability to communicate complex quantitative concepts to both technical and non-technical stakeholders.

Preferred Experience:

1. Experience supporting a Rates Options or Exotics trading desk in a front office environment.
2. Knowledge of interest rate model frameworks such as Hull-White, LMM/BGM, SABR and stochastic volatility models.
3. Experience interacting directly with traders, structurers and sales teams on pricing, risk and product development initiatives.
4. Previous experience mentoring junior quants will be a plus

Please email your cv directly to [email protected] in word format with job reference no.165310000 to [email protected]

Please note that due to the high number of applications only shortlisted candidates will be contacted. If you do not hear from us in the next 5 business days, we regret to inform you that your application for this position was unsuccessful.

EA Licence: 16S8131

Recruiter Licence: R22104669