VP, Quantitative Research — Mortgage Rates & Fixed Income

PennyMac Corp.; Westlake Village (CA); On-site; USD 95,000 - 155,000; Full time

Benefits offered by this job

Medical benefits

Dental benefits

Vision benefits

PTO

401k match

Tuition reimbursement

Stock-based incentives

Job summary

Pennymac seeks a highly analytical Vice President, Quantitative Research to design, build, and calibrate native interest rate and derivative pricing models within our Capital Markets division. You will engineer mathematical frameworks for yield curve dynamics and mortgage instrument valuation.

Ideal candidates bring advanced backgrounds in quantitative fields and experience with PDEs, stochastic calculus, and numerical simulation.

Qualifications

• Ph.D. or Master’s degree in Applied Mathematics, Financial Engineering, or a heavily quantitative discipline.
• 5+ years in capital markets or quantitative development; 3+ post-degree with PhD.
• Strong foundation in stochastic calculus, PDEs, linear algebra, Monte Carlo, numerical analysis.
• Expert proficiency in Python, C++, or R and SQL for data handling.
• Deep knowledge of fixed income mathematics, yield curve dynamics, swaptions, and MBS/MSR concepts.

Responsibilities

• Interest Rate Modeling: Architect, calibrate, and enhance stochastic term-structure models.
• Option Pricing & Derivatives Valuation: Evaluate swaptions, caps/floors, and embedded options.
• Fixed Income Pricing: Design valuation frameworks for Agency/Non-Agency MBS and MSR cash flows.
• Pipeline & Portfolio Hedging Support: Provide analytics for pipeline hedging and KRD sensitivity.
• Model Validation & Risk Infrastructure: Implement stress testing and governance compliant documentation.

Skills

Stochastic calculus

PDEs

Monte Carlo simulation

Numerical analysis

Yield curve dynamics

Education

Ph.D. or Master’s degree in quantitative field

Tools

Python

C++

R

SQL

Job description

Pennymac seeks a highly analytical Vice President, Quantitative Research to design, build, and calibrate native interest rate and derivative pricing models within our Capital Markets division. You will engineer mathematical frameworks for yield curve dynamics and mortgage instrument valuation.

Ideal candidates bring advanced backgrounds in quantitative fields and experience with PDEs, stochastic calculus, and numerical simulation.