Quantitative Researcher - Rates.

Millennium Management; Greater London; On-site; GBP 80,000 - 100,000; Full time

Job summary

A global hedge fund in Greater London is seeking a Quantitative Researcher to develop and maintain in-house pricing and risk libraries across various asset classes. The role involves close collaboration with Quants to deliver cutting-edge analytics tools. Ideal candidates will have a proven background in pricing models for Linear Rates and modern C++ programming, coupled with strong analytical and problem-solving capabilities. A detail-oriented mindset and solid communication skills are essential for success in this dynamic environment.

Qualifications

• Experience with pricing/valuation models for Linear Rates required.
• Knowledge of numerical methods like Monte Carlo preferred.
• Experience in supporting traders or portfolio managers.

Responsibilities

• Maintain and develop cross-asset pricing and risk library.
• Deliver pre-trade, pricing, and risk analytics tools.

Skills

Development of pricing/valuation models

Strong analytical skills

Problem solving capabilities

Strong communication skills

Tools

Modern C++

Job description

Quantitative Researcher - Rates

Millennium is a top tier global hedge fund with a strong commitment to leveraging innovations in technology and data science to solve complex problems for the business. We are assembling a strong Quant Technology team to build our next generation in-house analytics and trader support tools. This team will sit under the Fixed Income & Commodities Technology (FICT) group and will develop and maintain the in-house pricing libraries to support trading in Fixed Income, Commodities, Credit, and FX business at Millennium.FICT provides a dynamic and fast-paced environment with excellent growth opportunities.

Responsibilities

• Work closely with Quants in London, Geneva & New York to maintain and develop our cross-asset pricing and risk library
• Work with the business and other Quants to deliver cutting hedge Foreign Exchange specific pre-trade, pricing and risk analytics tools

Requirements

• Previous experience with developing pricing / valuation models for Linear Rates, including interest rate curve construction, Inflation modelling, derivative instrument pricing, is required
• Experience working with FX products , including vanillas and exotics, is preferable but not essential
• Strong knowledge in at least one of the main numerical methods Monte Carlo, Finite Differences, Finite Elements.
• ModernC++ professional programming experience is preferred
• Experience supporting traders or portfolio managers on regular questions like pnl / risk explain and / or pre-trade analysis tools
• Strong analytical and mathematical skills
• Strong problem solving capabilities
• Excellence driven, detail oriented and organized
• Demonstrating thoroughness and strong ownership of work
• Solid communication skills