Senior Quantitative Developer - Fixed Income
Company Description
Vichara is a Financial Services focused products and services firm headquartered in NY and building systems for some of the largest i-banks and hedge funds in the world.
Job Description
The quant team is responsible for providing valuation and risk calculations for all products traded by the firm (primarily rates, foreign exchange and credit) across a variety of applications. The team is implementing a new quantitative analytics library and are looking for an individual to drive the technology.
Quantitative Modeling: Expand product and market coverage to address evolving client needs by researching, implementing and rolling out new rates models.
Analytical Support: Maintain existing models, interact with client portfolio managers, traders and risk managers.
- Test models and explain any differences with expected results
Qualifications
5+ years of quantitative model development experience using Python
A Degree in a Quantitative Field:
Experience in Bonds and interest rates derivatives (swap, swaptions, CMS spread options, midcurves, etc) and modeling (short rate, Libor Market Model)
Exposure to curve building and stochastic volatility models.
Expertise in stochastic calculus and numerical methods such as Monte-Carlo simulation, finite difference schemes.
Additional Information
Compensation - 120-140K
Benefits:
- Work from home opportunities
- Extended health care
- Dental care
- Life insurance
Average salary estimate
If an employer mentions a salary or salary range on their job, we display it as an "Employer Estimate". If a job has no salary data, Rise displays an estimate if available.
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