Front Office Pricing Modelling Quant - Rates Volatility

About this role

Qube Research & Technologies (QRT) is a global quantitative and systematic investment manager, operating in all liquid asset classes across the world. We are a technology and data driven group implementing a scientific approach to investing. Combining data, research, technology and trading expertise has shaped QRT’s collaborative mindset which enables us to solve the most complex challenges. QRT’s culture of innovation continuously drives our ambition to deliver high quality returns for our investors.

You will work within a quantitative development function responsible for building QRT’s derivatives pricing library, with a particular focus on Rates Volatility. This is a front office role working closely with Traders and Quantitative Researchers across the full model lifecycle, from research and calibration through to implementation, testing and production integration. Your future role within QRT Design and develop Rates Volatility models within QRT’s derivatives pricing library Build and implement pricing models covering vanilla through exotic Rates products, including swaptions, Bermudan swaptions, caps and floors, and CMS Research, prototype and calibrate models including SABR, LGM and Cheyette Apply numerical methods including Monte Carlo and PDE techniques to pricing and model development Contribute to model documentation, validation and test coverage Collaborate with Traders and Quantitative Researchers on model development and trading requirements Work with technology and risk stakeholders to integrate models into production pricing infrastructure Your present skillset 10 to 15 years of experience as a Front Office Pricing Quant, with deep expertise in Rates Volatility Strong experience pricing Rates products across vanilla and exotic structures Experience with swaptions, including Bermudans, caps and floors, and CMS Strong knowledge of Rates Volatility models including SABR, LGM and Cheyette Experience applying Monte Carlo and PDE methods to derivatives pricing Strong understanding of derivatives pricing theory and stochastic processes Proven experience working directly with Traders on model development and calibration Advanced degree in Mathematics, Physics, Engineering, Computer Science or another quantitative discipline Strong C++ development skills, with knowledge of modern C++ beneficial Experience with algorithmic adjoint differentiation is beneficial Strong communication skills and a pragmatic, collaborative approach Willingness to mentor junior colleagues and contribute to knowledge sharing QRT is an equal opportunity employer.