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London | Accounts | Front Office Quant Analyst – Rates/Inflation – London

Front Office Quant Analyst – Rates/Inflation – London

Agency : Selby Jennings
Salary :  Negotiable
Ref :
Type : Permanent
Date : 11-01-2010
Location : London City,Central/West End
Region : London
Sector : Banking & Insurance
Selby Jennings
Specification :

Our client is a Top US U.S. Investment Bank and is looking to hire an outstanding Front Office Quant Analyst with an extensive quantitative background to join their Rates and Inflation group in London.

The Front Office Quant Analyst will have excellent knowledge of all models ideally the major short rate market models and extensive product/market knowledge (interest rate or inflation derivatives).

  • Inflation: new year-on-year market model development (with smile via mixtures/ Levy/stochastic vol); hybrid inflation and year-on-year interest rate models (with smiles): year-on-year inflation capped floaters; year-on-year real rate hybrid; year-on-year inflation range accruals on floating.
  • Structured credit (CDO, CLO); new CLO model (double waterfall, covenants), newly efficient algorithms.
  • Implementations in C++
  •  
  • PhD Mathematics (solid stochastic calculus) from any top university worldwide.

This is a multidisciplinary group of quantitative experts focusing on across all product areas with a significant presence Worldwide.

Base £80,000 - £105,000 + Benefits + discretionary bonus

Please apply directly to quantexotic@selbyjennings.com, +44 (0) 207 019 4137, www.selbyjennings.com

The recruiter has stated that all applicants for this job should be able to prove that they are legally entitled to work in the UK.

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