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Senior Quantitative Analyst - Fixed Income Derivatives

Hudson River Trading
Senior Quantitative Analyst - Fixed Income Derivatives
New York, US
175,000 - 300,000
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Job Description

Hudson River Trading (HRT) is hiring a Quantitative Analyst to support the buildout of our ambitious efforts to develop and deploy global macro derivatives strategies. In this role, you will develop and apply stochastic models and other techniques, such as data analysis or statistical/probabilistic machine learning, to guide and support systematic trading strategies. with the opportunity to contribute novel ideas in an extremely meritocratic environment.

You will be joining our Macro Analytics team, which sits within the broader Algorithmic Development group at HRT. You will contribute to the development and organizational deployment of HRT’s central analytics infrastructure to support alpha generation, PNL monitoring and decomposition, and risk management. You will collaborate with other researchers and teams across the firm to optimize existing tools and models, with varied opportunities to contribute novel ideas in an extremely meritocratic environment.

Interest and experience in programming are essential in this role because you will be responsible for not only research and prototyping, but also writing production code. Expertise C++ is a requirement, and familiarity with scientific Python is a plus.


Development and improvement of best practice pricing/risk infrastructure and toolset for global swaps, inflation, and sovereign bonds, including multi-curve machinery and spread decomposition, correct modeling of traded instruments and market conventions, rolldown/scenario risk, and PNL analysis. Development of cutting-edge pricing/risk stochastic models for vanilla caps and swaptions, and additional fixed income and foreign exchange nonlinear derivatives. Monitoring and analysis of market data, including the generation of derived data and development of appropriate pipelines to feed data into models to produce alpha signals. In collaboration with appropriate teams, deployment of all the above and application to systematic trading strategies and risk management. Research beyond best practices: alpha generation process and machinery, statistical and machine learning, stochastic modeling, algorithms, numerical and computational implementation, design patterns, etc. Promotion of derivatives culture within HRT. Profile

Advanced degree (Masters, PhD or equivalent) in mathematical or computational finance, or in a quantitative discipline (mathematics, statistics, physics, computer science or engineering), with exceptional academic credentials. Professional experience with fixed income derivatives modeling, research and development, and support of trading businesses. Working knowledge of derivatives instruments, pricing and risk models, and numerical/computational implementation. Strong professional C++ skills required. Experience working with data in Python (including NumPy, pandas, scikit-learn etc.) is a plus. Attentive to detail, striving to achieve deep understanding and top of class implementation. Strong communication skills with the ability to explain complex models to a less familiar audience. Outstanding work ethic and capacity to thrive in an ambitious, fast-paced environment. Entrepreneurial mindset and ability to connect the dots between mathematical models and real-world market behavior. Annual base salary range of $175,000 to $300,000. 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.


Hudson River Trading (HRT) brings a scientific approach to trading financial products. We have built one of the world's most sophisticated computing environments for research and development. Our researchers are at the forefront of innovation in the world of algorithmic trading.

At HRT we welcome a variety of expertise: mathematics and computer science, physics and engineering, media and tech. We’re a community of self-starters who are motivated by the excitement of being at the cutting edge of automation in every part of our organization—from trading, to business operations, to recruiting and beyond. We value openness and transparency, and celebrate great ideas from HRT veterans and new hires alike. At HRT we’re friends and colleagues – whether we are sharing a meal, playing the latest board game, or writing elegant code. We embrace a culture of togetherness that extends far beyond the walls of our office.

Feel like you belong at HRT? Our goal is to find the best people and bring them together to do great work in a place where everyone is valued. HRT is proud of our diverse staff; we have offices all over the globe and benefit from our varied and unique perspectives. HRT is an equal opportunity employer; so whoever you are we’d love to get to know you.

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