Inflation Quant Leader – Front Office Pricing & Risk

santander; Greater London; On-site; GBP 120,000 - 180,000; Full time

Job summary

Santander Corporate & Investment Banking (SCIB) in London seeks an Inflation Quant to shape the inflation curve and pricing libraries used by trading desks across the global platform, with exposure across the Rates business.

You will focus on research, development, and production of pricing analytics for inflation derivatives, caps/floors, Bermudan structures, and path-dependent products, using Python, C++, and Rust.

Qualifications

• MSc in Mathematics, Physics, Engineering, Computer Science or related quantitative discipline.
• Professional experience pricing models for options and/or exotic derivatives within a financial institution, ideally in a Front Office Quant team.

Responsibilities

• Designing, developing and maintaining models for inflation swaps, YoY and LPI structures, caps/floors, Bermudan options and other inflation‑linked optionality, with related exposure to cash inflation instruments.
• Researching, developing and calibrating pricing models for inflation options, inflation cap/floor markets and related volatility analytics
• Developing and enhancing robust inflation curve‑construction methodologies, including calibration, interpolation, extrapolation and the treatment of seasonality
• Building and improving production analytics for pricing, risk, calibration and scenario analysis across inflation and related Rates products, with a strong focus on accuracy, resilience and performance
• Developing practical modelling and pricing solutions for structured products with inflation components, working directly with Structuring and Trading from initial idea through to implementation
• Producing clear and rigorous model documentation and presenting methodologies, assumptions, limitations and results to traders, senior management and Model Validation
• Implementing, testing, optimising and supporting production analytics in libraries written in Python, C++ and Rust , helping move research efficiently from prototype to production while contributing to the modernisation of the wider quantitative platform

Skills

Python

C++

Rust

Quantitative modelling

Education

MSc in Mathematics or related quantitative field

Tools

Python

C++

Rust

Job description

Santander Corporate & Investment Banking (SCIB) in London seeks an Inflation Quant to shape the inflation curve and pricing libraries used by trading desks across the global platform, with exposure across the Rates business.

You will focus on research, development, and production of pricing analytics for inflation derivatives, caps/floors, Bermudan structures, and path-dependent products, using Python, C++, and Rust.