Quantitative Researcher – Rates.

Quantitative Researcher - Rates. focuses on we are assembling a strong quant technology team to build our next generation in-house analytics and trader support tools.

What the role involves

• We are assembling a strong Quant Technology team to build our next generation in-house analytics and trader support tools.
• This team will sit under the Fixed Income & Commodities Technology (FICT) group and will develop.
• Maintain the in-house pricing libraries to support trading in Fixed Income, Commodities, Credit, and FX business at Millennium.
• Work closely with Quants in London, Geneva & New York to maintain.
• Develop our cross-asset pricing and risk library.
• Work with the business and other Quants to deliver cutting edge Rates specific pre-trade, pricing and risk analytics tools.

Skills and requirements

• Previous experience with developing pricing/valuation models for Linear Rates, including interest rate curve construction, Inflation modelling, derivative instrument pricing, is re.
• Experience working with FX products , including vanillas and exotics, is preferable but not essential.
• Strong knowledge in at least one of the main numerical methods Monte Carlo, Finite Differences, Finite Elements.
• Modern C++ professional programming experience is preferred.

Additional role context

• Millennium is a top tier global hedge fund with a strong commitment to leveraging innovations in technology and data science to solve complex problems for the business.