Senior Quantitative Developer - Fixed Income

Vichara Technologies, Inc.; Ridgewood (NJ); On-site; USD 120,000 - 160,000; Full time

Job summary

A leading financial services firm in New Jersey is seeking a Quantitative Model Developer to enhance its product and market coverage while maintaining existing valuation and risk prediction models. Ideal candidates will have a strong background in Python and quantitative analysis, with specific expertise in stochastic calculus and derivatives.

Qualifications

• 5+ years of quantitative model development experience using Python.
• Experience in bonds and interest rate derivatives.
• Expertise in stochastic calculus and numerical methods.

Responsibilities

• Drive the technology for a new quantitative analytics library.
• Expand product and market coverage.
• Maintain existing models and interact with stakeholders.

Skills

Quantitative modeling

Python

Stochastic calculus

Numerical methods

Education

Degree in a quantitative field

Job description

• Full-time

Company Description

Vichara is a Financial Services focused products and services firm headquartered in NY and building systems for some of the largest i-banks and hedge funds in the world.

Job Description

The quant team is responsible for providing valuation and risk calculations for all products traded by the firm (primarily rates, foreign exchange and credit) across a variety of applications. The team is implementing a new quantitative analytics library and are looking for an individual to drive the technology.

Quantitative Modeling: Expand product and market coverage to address evolving client needs by researching, implementing and rolling out new rates models.

Analytical Support: Maintain existing models, interact with client portfolio managers, traders and risk managers.

• Test models and explain any differences with expected results

Qualifications

5+ years of quantitative model development experience using Python

A Degree in a Quantitative Field:

Experience in Bonds and interest rates derivatives (swap, swaptions, CMS spread options, midcurves, etc) and modeling (short rate, Libor Market Model)

Exposure to curve building and stochastic volatility models.

Expertise in stochastic calculus and numerical methods such as Monte-Carlo simulation, finite difference schemes.