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Linear Rates Quant / Desk Strat, Macro Hedge Fund, London

Millar Associates
London, United Kingdom
Total to £240K + Benefits
Closing date
Jun 23, 2023

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Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Linear Products (Swaps, Bonds, etc.), Options, Curves, Pricing & Risk, Python

  • Contribute to the development of a new python-based curve fitting framework and pricing / risk engine
  • Build front office risk management and trade finding tools.
  • Build out library functionality for valuation, risk, scenario, for a wide range of cash products in G10 and EM, and listed derivatives
  • Provide day to day quantitative support for the firm's portfolio managers and risk managers.

  • 3-10 yrs+ experience as a Quant with good knowledge of Linear Rates and curves modelling
  • Minimum Master's degree in a quantitative subject (Physics, Maths, Engineering, Computer Science)
  • A passion for financial markets and a willingness to engage in and learn interest rate modelling.
  • Strong Python hands-on programming skill is a core requirement
  • Ability to communicate with Portfolio Managers, traders, risk & the Front Office

  • C# /Microsoft Excel experience is a plus
  • Familiarity with databases and query writing
  • Experience in curve calibrations including OIS discounting, collaterals and funding curves
  • Experience working with Front Office

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