New York, New York

Job Description:

Job Description

The USD non-linear rates quant group is looking to add a VP level individual to support the USD exotics and structured notes trading desk. Our team supports the interest rate option business for the US and Canada, including exotic derivatives and structured notes. We are responsible for developing and maintaining the valuation models in C++, as well as the Python based pricing and risk system (Quartz). The role we are looking to fill will be more geared toward the implementation and maintenance of our exotics models within the C++ code base. An existing knowledge of rates products or structured notes is key, as is the ability to work closely with our partners in trading, risk management, and technology.

Responsibilities
  • Support the exotics and structured notes trading desks in day to day requests regarding pricing of vanilla and structured trades
  • Work with technology teams to support end of day risk valuations and PnL attribution
  • Maintain and implement numerous Python applications to support pricing and marking of model parameters
  • Work with the core rates team to support and maintain the instrument, market data, and valuation infrastructure within the existing Python (Quartz) platform
  • Collaborate with other members of the QSG rates team to implement new payoffs and make improvements to the modelling of rates exotics products

Qualifications
  • Relevant academic background in computer science, mathematics, physics, engineering, or finance, with a strong preference for an individual holding an advance degree (e.g. M.F.E. or higher)
  • Programming experience in a language such as C++, Python, Java in a production environment
  • At least 2-3 years of experience supporting a rates trading desk in a front office environment, preferably an options, exotics, or structured products desk
  • Knowledge of interest rate derivatives such as futures, swaps, swaptions, exotic derivatives, as well as modelling concepts for these products (e.g. the basics of Black-Scholes pricing, Monte Carlo simulation, etc.)


Job Band:
H5

Shift:
1st shift (United States of America)

Hours Per Week:
40

Weekly Schedule:

Referral Bonus Amount:
0
--> Job Description:

Job Description

The USD non-linear rates quant group is looking to add a VP level individual to support the USD exotics and structured notes trading desk. Our team supports the interest rate option business for the US and Canada, including exotic derivatives and structured notes. We are responsible for developing and maintaining the valuation models in C++, as well as the Python based pricing and risk system (Quartz). The role we are looking to fill will be more geared toward the implementation and maintenance of our exotics models within the C++ code base. An existing knowledge of rates products or structured notes is key, as is the ability to work closely with our partners in trading, risk management, and technology.

Responsibilities
  • Support the exotics and structured notes trading desks in day to day requests regarding pricing of vanilla and structured trades
  • Work with technology teams to support end of day risk valuations and PnL attribution
  • Maintain and implement numerous Python applications to support pricing and marking of model parameters
  • Work with the core rates team to support and maintain the instrument, market data, and valuation infrastructure within the existing Python (Quartz) platform
  • Collaborate with other members of the QSG rates team to implement new payoffs and make improvements to the modelling of rates exotics products

Qualifications
  • Relevant academic background in computer science, mathematics, physics, engineering, or finance, with a strong preference for an individual holding an advance degree (e.g. M.F.E. or higher)
  • Programming experience in a language such as C++, Python, Java in a production environment
  • At least 2-3 years of experience supporting a rates trading desk in a front office environment, preferably an options, exotics, or structured products desk
  • Knowledge of interest rate derivatives such as futures, swaps, swaptions, exotic derivatives, as well as modelling concepts for these products (e.g. the basics of Black-Scholes pricing, Monte Carlo simulation, etc.)


Job Band:
H5

Shift:
1st shift (United States of America)

Hours Per Week:
40

Weekly Schedule:

Referral Bonus Amount:
0
Job Description:

Job Description

The USD non-linear rates quant group is looking to add a VP level individual to support the USD exotics and structured notes trading desk. Our team supports the interest rate option business for the US and Canada, including exotic derivatives and structured notes. We are responsible for developing and maintaining the valuation models in C++, as well as the Python based pricing and risk system (Quartz). The role we are looking to fill will be more geared toward the implementation and maintenance of our exotics models within the C++ code base. An existing knowledge of rates products or structured notes is key, as is the ability to work closely with our partners in trading, risk management, and technology.

Responsibilities
  • Support the exotics and structured notes trading desks in day to day requests regarding pricing of vanilla and structured trades
  • Work with technology teams to support end of day risk valuations and PnL attribution
  • Maintain and implement numerous Python applications to support pricing and marking of model parameters
  • Work with the core rates team to support and maintain the instrument, market data, and valuation infrastructure within the existing Python (Quartz) platform
  • Collaborate with other members of the QSG rates team to implement new payoffs and make improvements to the modelling of rates exotics products

Qualifications
  • Relevant academic background in computer science, mathematics, physics, engineering, or finance, with a strong preference for an individual holding an advance degree (e.g. M.F.E. or higher)
  • Programming experience in a language such as C++, Python, Java in a production environment
  • At least 2-3 years of experience supporting a rates trading desk in a front office environment, preferably an options, exotics, or structured products desk
  • Knowledge of interest rate derivatives such as futures, swaps, swaptions, exotic derivatives, as well as modelling concepts for these products (e.g. the basics of Black-Scholes pricing, Monte Carlo simulation, etc.)


Shift:
1st shift (United States of America)

Hours Per Week:
40
Learn more about this role

New York, New York

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