HRT is seeking a quantitative analyst to join our efforts in developing strategies in interest rate and credit derivatives. Responsibilities of a quantitative analyst will include applying techniques from stochastic calculus to implement models for pricing of interest rate volatility via swaptions, and more generally all fixed income derivatives. We then aim to use such models and other techniques, such as data analysis based on classical statistics and machine learning, to guide trading in fixed income products.

Interest and experience in programming are essential in this role because you will be responsible for not only prototyping and conducting research into various strategy components, but also writing code to productionalize these ideas. In particular, experience programming in C++ is required, and familiarity with modern language features (C++ 11/14/17) is a plus.

HRT employees enjoy a collegial and non-siloed environment, and you can and will work closely with other researchers and various teams across the firm to develop new ideas and refine existing tools and models.

Responsibilities

Applying techniques from stochastic calculus to implement models for pricing of fixed income derivatives, specifically swaptions
Carefully model various instruments and market conventions in the fixed income pricing library
Feed data from various sources into the models to generate alpha signals
Alpha research to develop new and improve existing strategies

Profile

An advanced degree in financial mathematics or a similar field, or an undergraduate degree in a quantitative discipline
2+ years of experience developing pricing models required
Experience developing interest rate derivatives pricing models strongly preferred; experience with interest rate swaptions a plus
Exceptional academic credentials
Attention to detail and desire to understand issues deeply
Strong communication skills and ability to explain complex derivative pricing models to colleagues not familiar with them
Outstanding work ethic and ability to thrive in a fast-paced environment
Entrepreneurial mindset and ability to connect the dots between mathematical models and the real-world market behavior
Working knowledge of interest rate derivatives and relevant modelling techniques
Strong numerical programming skills, including required proficiency in C++
Experience working with data in Python is a plus

Annual base salary range of $200,000 to $250,000. Pay (base and bonus) may vary depending on job-related skills and experience. A sign-on and discretionary performance bonus may be provided as part of the total compensation package, in addition to company-paid medical and/or other benefits.

Quantitative Analyst - Fixed Income