At U.S. Bank

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Job Description

The Lead Rates Derivatives Quantitative Specialist is a senior front-office quantitative leader responsible for the design, development, and ongoing support of pricing, risk, and analytics models for Rates and FX derivatives businesses, with a primary focus on options and volatility-driven products.

The role serves as a desk-aligned quantitative partner to trading, owning advanced interest rate derivatives modeling frameworks—including stochastic volatility, multi-factor term structure models, and options pricing architectures—while ensuring seamless integration into enterprise real-time risk and P&L platforms.

This position partners closely with Trading, Risk Management, Technology, and Model Governance teams to deliver analytically rigorous, scalable, and regulator-ready models that support intraday trading, dynamic risk management, and strategic growth across the FICC platform.

Role Requirements

• Provide senior quantitative leadership supporting intraday trading activity across Rates and FX desks, with emphasis on volatility modeling, options pricing, and model stability under stressed market conditions.
• Design, develop, and maintain pricing and risk models for interest rate and FX derivatives, with particular focus on options products (e.g., swaptions, caps/floors, structured optionality), ensuring analytical accuracy, scalability, and performance in production environments.
• Lead the development and enhancement of volatility modeling frameworks, including construction and calibration of volatility surfaces and dynamic evolution models across USD and global rates markets.
• Design, implement, and maintain advanced stochastic volatility models, including SABR and its extensions, ensuring consistent calibration, arbitrage-free interpolation, and robustness across strikes and maturities.
• Develop and support multi-factor interest rate options models, including Cheyette-class Gaussian models and other advanced term structure frameworks used for pricing, hedging, and risk decomposition of complex derivatives.
• Own model calibration methodologies, including efficient numerical schemes, Monte Carlo simulation, and adjoint/algorithmic differentiation techniques for accurate and scalable risk sensitivities.
• Drive the evolution of pricing and risk frameworks for exotics and structured products, including callable structures and path-dependent instruments, ensuring consistency with core modeling architecture.
• Partner with Model Risk Management and Risk Oversight teams throughout the model lifecycle.
• Support internal and external regulatory examinations by providing clear model documentation and performance evidence.
• Collaborate with Technology teams to integrate quantitative models into front-office pricing and real-time risk platforms.
• Provide technical leadership and mentorship to quantitative team members.