VP – Quantitative Analyst (Rates, Exotics)

Key responsibilities

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

Role requirements

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

Proven experience in one or more of the following areas:

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

Preferred Experience:

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