Front Office Rates Volatility Quant – Pricing & Modelling

Qube Research & Technologies; England; On-site; GBP 120,000 - 210,000; Full time

Job summary

Qube Research & Technologies is seeking a senior Front Office Pricing Quant to design and develop Rates Volatility models for our derivatives pricing library. You will calibrate models for vanilla to exotic Rates products and work closely with Traders and Quant Researchers.

The role requires deep knowledge of Rates Volatility, SABR/LGM/Cheyette, and strong C++ development skills. You will apply Monte Carlo and PDE methods and contribute to production pricing infrastructure while mentoring junior

Qualifications

• Advanced degree in Mathematics, Physics, Engineering, Computer Science or another quantitative discipline.
• Strong C++ development skills, with knowledge of modern C++ beneficial.
• Experience with rates volatility models (SABR, LGM, Cheyette) and pricing framework.

Responsibilities

• Design and develop Rates Volatility models within the derivatives pricing library.
• Build pricing models for vanilla through exotic Rates products (swaptions, Bermudan swaptions, caps/floors, CMS).
• Research, prototype and calibrate models including SABR, LGM and Cheyette.
• Apply Monte Carlo and PDE methods to pricing and model development.
• Contribute to model documentation, validation and test coverage.
• Collaborate with Traders and Quantitative Researchers on model development and trading requirements.
• Integrate models into production pricing infrastructure with technology/risk teams.
• Mentor junior colleagues and share knowledge.

Skills

Rates Volatility

Pricing Theory

C++ Development

Monte Carlo

PDE Methods

SABR

LGM

Cheyette

Traders Collaboration

Adjoint Differentiation

Communication

Mentoring

Education

Advanced degree in quantitative field

Tools

Modern C++

Job description

Qube Research & Technologies is seeking a senior Front Office Pricing Quant to design and develop Rates Volatility models for our derivatives pricing library. You will calibrate models for vanilla to exotic Rates products and work closely with Traders and Quant Researchers.

The role requires deep knowledge of Rates Volatility, SABR/LGM/Cheyette, and strong C++ development skills. You will apply Monte Carlo and PDE methods and contribute to production pricing infrastructure while mentoring junior