Quantitative Researcher - Rates Options & Trading Signals

AAA Global; Greater London; On-site; GBP 136,000 - 197,000; Full time

Job summary

Hedge fund is seeking a Quantitative Researcher to develop pricing and risk models for interest rate options and apply those models to trading strategy research. The researcher will work directly with portfolio managers and traders, with scope to take increasing ownership of relative-value research, trade idea generation and backtesting.

Experience required includes 5–10 years in quantitative roles, including buy-side experience, and strong Python skills.

Qualifications

• 5–10 years of relevant quantitative experience, including experience at a hedge fund or other buy-side investment firm.
• Hands-on experience developing, calibrating or implementing rates volatility pricing models in a front-office or trading-facing role.
• Strong understanding of interest rate curves, volatility surfaces, option Greeks and hedging.
• Strong Python skills for numerical modelling, quantitative research and market data analysis.

Responsibilities

• Develop, calibrate and maintain pricing and risk models for interest rate options, including swaptions, caps and floors.
• Build and analyse implied volatility surfaces across expiries, swap tenors and strikes. Investigate pricing discrepancies and assess sensitivity to model assumptions and market inputs.
• Identify rates volatility relative-value opportunities and evaluate potential trades using carry, roll-down, liquidity, hedging costs and scenario analysis.
• Develop and backtest trading hypotheses using historical market data. Evaluate performance across market regimes and account for execution and hedging costs.
• Communicate research findings to portfolio managers and traders, and support trade construction and ongoing monitoring.

Skills

Python

C++

Rates volatility

Job description

Hedge fund is seeking a Quantitative Researcher to develop pricing and risk models for interest rate options and apply those models to trading strategy research. The researcher will work directly with portfolio managers and traders, with scope to take increasing ownership of relative-value research, trade idea generation and backtesting.

Experience required includes 5–10 years in quantitative roles, including buy-side experience, and strong Python skills.