full-time
Quant Analyst, Exotic Rates
eXalt Fi
- Employer
- eXalt Fi
- Location
- London
- Working pattern
- on-site
About the role
Develop and maintain exotic interest rate pricing models, including calibration, Greeks, and risk analytics. Migrate models to a new architecture, investigate and resolve pricing differences, and collaborate with quants, traders, and IT on a production C++ library. Requires at least five years of Front Office Quant or Quant Developer experience, advanced production C++, and a track record developing and maintaining exotic rates pricing models. Candidates should have solid knowledge of yield curve construction and calibration; experience with LMM-type models or large migration projects is a plus.