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Quantitative Researcher - Rates

Millennium Management
Quantitative Researcher - Rates
London, GB
139,000 - 219,000
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Job Description

Quantitative Researcher - Rates

This team sits under the Fixed Income & Commodities Technology (FICT) group and will develop and maintain the in-house pricing libraries to support trading in Fixed Income, Commodities, Credit, and FX business at Millennium. FICT provides a dynamic and fast-paced environment with excellent growth opportunities.


  • Work closely with Quants in London, New York & Geneva to develop fixed-income pricing and risk analytics for our in-house pricing library, as well as pre-trade analysis tools or Portfolio Managers
  • Front office position – support our EMEA based Portfolio Managers


  • At least 3+ of experience with Linear Rates analytics
    • Curve building and curve interpolation analytics for all curve tenors: OIS, Libor, Cross-currency, etc
    • Experience with bond analytics
    • Experience with inflation analytics, swaps and linkers preferable
    • Cross-currency & FX curve pricing & modelling, including turn modelling
  • Strong analytical and mathematical skills
  • Strong problem solving capabilities
  • Strong C++ programming experience
  • Solid communication skills
  • Able to work independently in a fast-paced environment.
  • Detail oriented, organized, demonstrating thoroughness and strong ownership of work
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