Senior Quantitative Specialist

Responsibilities

Conduct quantitative research to develop interest rates models, FX derivatives models, enhance existing pricing models, develop new methodologies for pricing, hedging, and risk management of interest rate & FX derivatives including derivative on SG interest rate proprietary indices.

Lead the team of quantitative analysts working on designing and implementing pricing models for interest rate derivative, FX derivatives and hybrids.

Define the tasks for each member in this team and check their produced design document, source code, implemented solutions and testing.

Maintain the pricing libraries and the pricing tools used by the trading in the pre-trade for risk management and P&L estimation and provide an adequate support to trading, sales, engineers, IT users and risk validators in their use of these tools.

Collaborate with interest derivative traders, financial engineering, structurers, and other stakeholders to understand business requirements when structuring new interest rate products and develop adequate pricing models, quantitative solutions and/or adapt existing pricing models to address these requirements.

Mentor the junior team members, provide guidance on quantitative techniques, serve as one of leading voice for quantitative design decisions and foster collaboration and knowledge sharing by maintaining regular contact with similar quantitative analysis teams within the organization, both locally and in other regions.

Stay informed about the latest advancements in quantitative finance research related to interest rates derivative and fixed income hybrids.

Requirements

Proficient in pricing a wide range of interest rate derivatives, including Caplets, Floorlets, Swaptions, Range Accrual Options, Cancellable Swaps, Bermudans Swaptions, Double Range Accrual Options, CMS Options, Bond Options, Bond Futures Options, Listed Futures Options, and T-Locks.

Strong understanding of Interest Rate Linear and Vanilla Derivatives, such as Swaps, Futures, Forwards, Forward Swaps, Swaptions, Caps, Floors, and Bond Forwards.

Experienced in working with Exotic-Rate Models such as Hull & White (HW) Model, HJM Model, BGM Model, and implemented them for pricing Interest Rate exotic products.

Proficient in mathematical methods applied to finance, including Monte Carlo and variance reduction, Differential Equations and Grid Backward/Forward Solving, optimization algorithms such as Gradient Descent, and interest rates curves stripping methodologies.

Deep understanding of interest rate volatility surface structure, calibration, and SABR model, with the ability to maintain calibration and address arbitrability from volatility smiles.

Proficiency in programming languages, including C# and Python, with a minimum understanding of C++, and experience in developing within a pricing library in a code sharing platform.

Educated to Master’s degree in financial engineering and mathematics.

Qualifications

Experience Needed: 7+ years on similar roles, Quantitative analysis in financial institution, investment banking, Hedge fund, …

Skills

Effective communication skills, able to articulate issues with trading, engineers, and head of trading, and provide clear explanations of model behavior and results from risk and P&L perspective.

Benefits

Competitive benefits package including 401(k) plan with company match, Medical/Dental/Vision, and other benefits for fertility, wellness, student loans and commuters.

Pay

Base salary range does not include overtime pay, bonus and/or other benefits, where applicable. Actual base salary offer will vary based on skills and experience.

Schedule

Hybrid work environment available.