Senior Quantitative Researcher (VP) - SMBC Capital Markets in New York, New York - Careers at N

  • New York, NY


: $141,236.67 - $206,040.00 /year *

Employment Type

: Full-Time


: Financial Services - Banking/Investment/Finance

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This is a position for a Senior-level Quantitative Researcher. The focus is development of the infrastructure for derivative securities pricing, in the area of interest rates (including inflation), credit derivatives and foreign exchange.

The role resides in our Front Office Strategists team within our Capital Markets business. The successful hire will provide quantitative support in terms of model building, implementation, application building, and documentation as well as pricing and risk management advice to traders and marketers.

The successful candidate understands the aspects of pricing of FX/interest rates swap/options, and will be able to implement pricers in C++ based DLL and/or in script languages.

Excellent programming skills in C++ are important. Knowledge of scripting languages (e.g. Python) is a plus.


VP-level Front Office Quant who will contribute to the team's vanilla and exotic derivatives modeling and pricing efforts in interest rate and FX products.

  • Produce, maintain or extend existing model implementations built in C++/Python/Excel VBA.
  • Help with Exotic Derivatives pricing: familiarity with the pricing methodology for callable structures is essential.
  • Create application and user interface with JavaScript/Python/Excel VBA for front desk.
  • Implement risk reports and processes automation for risk management and operation.
  • Creating test environment and test case for software quality management, model control and regulatory auditing.
  • Work as liaison between front office traders and IT team to set requirements and manage direction of front office IT projects.


Experience and Knowledge

  • Master's Degree or Ph.D. in Finance or a quantitative field in Science or Engineering.
  • At least 3-5 years of experience in the Financial industry, preferably with a major financial institution in a role related to interest rates products and derivative pricing for front desk.
  • Solid background in Applied Mathematics especially in understanding of stochastic calculus, derivative pricing theory, and numerical methods such as Monte Carlo or partial deferential equations.
  • Solid programming skills in C++ or other complied languages. Having working knowledge of either Microsoft or Linux development environment.
  • Knowledge of scripting language, Linux, Docker, Cloud computing is a plus.

Skills and Abilities

  • Ability to effectively communicate abstract ideas to the front desk, as well as ability to produce technically accurate and effective documentation on the models developed.
  • Ability to interact with the Trading Department on ad-hoc issues involving derivatives pricing, volatility calibration and curve building.
  • Ability to understand and troubleshoot pricing / risk management problems in a rapidly expanding group of professionals.
  • Quick learner and hands-on team player with open mind to new technologies.

Associated topics: bond, derivatives, dow jones, fiduciary, financial, fund, market, purchase, risk, sell

* The salary listed in the header is an estimate based on salary data for similar jobs in the same area. Salary or compensation data found in the job description is accurate.

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