Barclay Simpson
Director – Structured Rates Quant Modeller (Contract) ~ £1500/day
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Director – Rates Quant Modeller Contract | Inside IR35 | £1,500/day | 6–12 Months
I'm working with a leading global investment bank looking to hire an experienced Director-level Structured Rates Quant Modeller to join their Front Office Quantitative Analytics team.
This is a hands-on modelling role for someone with deep experience building pricing models for Structured Rates (Exotics) derivatives. The team is specifically looking for someone with experience building or making significant contributions to exotic pricers, rather than someone whose experience is focused solely on vanilla rates or quantitative development.
The Role
- Building, enhancing and testing pricing models for Structured Rates (Exotics) derivatives
- Working with production C++ pricing libraries using Python
- Assessing model assumptions and documentation
- Debugging production code and implementing model enhancements
- Working closely with Trading, Quant Research, Model Validation and Technology throughout the model governance lifecycle
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Requirements
- 10+ years' experience in quantitative modelling.
- Experience modelling exotic rates pricers is essential (experience with vanilla pricers would be advantageous)
- Strong understanding of derivative pricing and risk-neutral modelling.
- Python skills required; C++ experience highly desirable.
- Previous Front Office or Model Validation experience.
- Degree in Mathematics, Financial Mathematics or Physics (or similar quantitative discipline)
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This isn't simply a backfill. The team has a significant delivery pipeline and is looking for someone who can hit the ground running, help relieve a bottleneck in model delivery and play a key role in driving models through testing, documentation and governance.
This role would suit someone available immediately, between contracts or on a short notice period.
If you'd like to hear more, please get in touch with your updated CV and current availability.
If it's not for you, I'd really appreciate you sharing it with your network. I also offer a generous referral fee for successful introductions.
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