Treasury Quant Analyst — Derivatives & Funding (Associate)

Capstone Investment Advisors, LLC; New York (NY); Hybrid; USD 170,000 - 180,000; Full time

Benefits offered by this job

Training and development opportunities

Wellness resources

Time-Off and commuter benefits

Job summary

Capstone Investment Advisors, LLC seeks an Associate, Treasury Quant in New York, NY to develop internal analytics and reports to monitor counterparty metrics, funding markets, and Treasury PnL.

Requires a Master’s degree or foreign equivalent in Mathematics or related quantitative field and two years of experience building production-level computational financial models, including pricing methodologies for derivatives and data pipelines with SQL and Python.

Qualifications

• Master’s degree in Mathematics or related quantitative field.
• 2+ years building production-level financial models.
• Experience pricing derivatives (European, American, exotic).
• Proficiency with SQL and Python.

Responsibilities

• Develop internal analytics and reports to monitor counterparty metrics and funding markets.
• Model and valute Treasury PnL and related metrics.
• Source and process derivatives market data to calibrate models.
• Collaborate with teams to implement pricing methodologies and pricing inputs.

Skills

Python

SQL

Derivatives pricing

GitHub

Education

Master’s degree in Mathematics or related quantitative field

Tools

Bloomberg

S&P Global

Job description

Capstone Investment Advisors, LLC seeks an Associate, Treasury Quant in New York, NY to develop internal analytics and reports to monitor counterparty metrics, funding markets, and Treasury PnL.

Requires a Master’s degree or foreign equivalent in Mathematics or related quantitative field and two years of experience building production-level computational financial models, including pricing methodologies for derivatives and data pipelines with SQL and Python.