European Volatility Rates Quantitative Researcher

TN United Kingdom; London; On-site; GBP 200,000 - 300,000; Full time

Job summary

A leading company is looking for a European Volatility Rates Quantitative Researcher in London. The role involves building pricing models, supporting portfolio managers, and designing macro data series. Ideal candidates will have a strong quantitative background and programming skills in C++ and Python.

Qualifications

• Expert C++ programmer with focus on well-engineered code.
• Programming experience in Python for data analysis.

Responsibilities

• Build and maintain pricing models for macro products.
• Design processes for live calculation of P&L and risk.

Skills

C++

Python

Statistics

Problem-solving

Communication

Education

Masters’ Degree in quantitative field

Job description

European Volatility Rates Quantitative Researcher, London

Location: London, United Kingdom

Client: Balyasny Asset Management L.P.

Job Category: Other

EU work permit required: Yes

Job Reference: 71fa621eca18

Job Views: 3

Posted: 14.05.2025

Expiry Date: 28.06.2025

Job Description:

The Macro Technology Team is seeking a European Volatility Rates Quantitative Researcher.

The ideal candidate will:

1. Build and maintain pricing models for a range of products traded in macro business.
2. Design and implement processes for live calculation of P&L and risk used by portfolio managers.
3. Support portfolio managers and analysts in building out bespoke tools using in-house analytics.
4. Design and implement macro data series for use in analysis and back-testing.
5. Learn about pricing, risk, and calibration for various macro products.

Qualifications & Requirements:

• Masters’ Degree or higher in a quantitative field; degrees in computer science, finance, mathematics, econometrics, or other quantitative disciplines preferred.
• Expert C++ programmer with experience in C++17, with a desire to move to C++20, capable of producing well-engineered code.
• Programming experience in Python for data analysis, testing ideas, and developing infrastructure for research.
• Understanding and exposure to interest rate swaps, fixed income futures, interest rate options, and foreign exchange; experience with local and/or stochastic volatility models.
• Knowledge of statistics, including time series analysis and regressions.
• Strong organizational skills with the ability to present results clearly and collaborate effectively with portfolio managers.

Preferred Attributes:

• Strong desire to work collaboratively.
• High professionalism in dealings with internal staff, external partners, clients, and regulatory agencies.
• Problem-solving skills and the ability to implement solutions.
• Ability to prioritize and manage multiple tasks and projects to meet deadlines.
• Strong written and verbal communication skills.
• Outstanding attention to detail and organizational skills.

Compensation: For NY- and CA-based applicants, the starting base pay range is between $200,000 and $300,000 annually, depending on experience, market demands, and other factors. The role may also include bonus compensation and benefits.