Experteer Overview
As a VP Quant Developer, you will build and implement advanced quantitative models for risk management, pricing, and trading of interest rate products within a cross‑asset platform. You will work closely with traders, tech partners, and cross‑asset teams to extend the quant library and automate model monitoring. The role focuses on multi‑curve term structures, volatility modeling, and PDE-based pricing with automatic differentiation. You’ll deliver production‑ready models, documentation, and tooling that support daily P&L, risk, and explainable analytics.
Pay / Benefits
- Improve the quant library C++ code
- Implement object serialization
- Enhance library testing framework (Python)
- Automate ongoing model monitoring
- Support Jenkins build for macro quant team
- Implement new PDE pricer with automatic differentiation
- Develop and implement quantitative models for linear and nonlinear interest-rate products, structured rates and hybrids for desk pricing and risk management
- Build and enhance pricing and risk analytics, including curve construction and volatility cube calibration
- Develop and calibrate stochastic term structure models like single and multifactor Cheyette or Quadratic Gaussian in a multi-curve framework
- Transition to new optimization-based curve engine
- Deliver high-quality models and code, model documentation and testing
- Production integration of models for daily PL, Risk, PL explains and into spreadsheet tools
- Provide model support to the trading desk, including troubleshooting and enhancements
- Partner effectively with Business Stakeholders, Sales & Trading, Technology, Model Validation and Project Management teams
Tasks
- Experience in quantitative analytics for interest rate / macro products or equivalent
- Strong hands-on coding experience in C++ and Python
- Experience with Java is a plus
- Experience with quant library testing and Jenkins
- Understanding of derivative products and markets, particularly in interest rates: swaps, rates and bond futures, swaptions including non standard (zero coupon, accreters), cap/floor, Bermudan callables, CMS, CMS spread, range accrual, cross currency swaps, inflation and hybrids
- Experience with volatility and term structure models including SABR, Cheyette, Quadratic Gaussian, and related frameworks (LGM, BGM, HW model) for single and cross currency
- Experience with optimization‑based curve engine or using hedge curve risk templates
- Familiarity with instrument and index market conventions across developed or emerging markets
- Proven experience working with Sales and Trading as a front office quant
- Excellent verbal, written, and interpersonal communication skills
- Master's or PhD in Mathematics, Physics, Engineering, Computational or Quantitative Finance or a related technical field
Key requirements
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