Lead Rates Quant Modeller – Exotic Pricing

Barclay Simpson; Greater London; On-site; GBP 239,000 - 314,000; Full time

Job summary

Barclay Simpson is partnered with a leading global investment bank to hire a Director-level Structured Rates Quant Modeller for an Inside IR35 contract in London. The role focuses on hands-on pricing model design for Structured Rates Exotics, producing production-grade pricing libraries and ensuring rigorous governance.

The ideal candidate has 10+ years in Front Office Quant Analytics, strong Python, and experience with exotic rates pricers; C++ is highly desirable and quantitative academia is

Qualifications

• 10+ years of experience in Front Office Quantitative Analytics.
• Proven experience designing/building/major contributions to Structured Rates Exotic pricers and pricing libraries in a Front Office setting.
• Strong Python skills are required.
• C++ experience is highly desirable.
• Previous Front Office Quant or Model Validation experience.
• Degree in Mathematics, Financial Mathematics, Physics or another highly quantitative discipline.

Responsibilities

• Design, build and enhance pricing models for Structured Rates Exotic derivatives.
• Develop and improve production pricing libraries.
• Work with production C++ pricing libraries using Python.
• Assess pricing model assumptions, methodologies and documentation.
• Debug production code and implement model enhancements.
• Collaborate with Trading, Quant Research, Model Validation and Technology throughout the model lifecycle.

Skills

Python programming

Front Office Quant analytics

Stochastic modelling

C++ programming

Education

Quantitative degree (Math/Financial Math/Physics)

Tools

Python

C++

Job description

Barclay Simpson is partnered with a leading global investment bank to hire a Director-level Structured Rates Quant Modeller for an Inside IR35 contract in London. The role focuses on hands-on pricing model design for Structured Rates Exotics, producing production-grade pricing libraries and ensuring rigorous governance.

The ideal candidate has 10+ years in Front Office Quant Analytics, strong Python, and experience with exotic rates pricers; C++ is highly desirable and quantitative academia is