Senior Quantitative Specialist

Responsibilities Conduct quantitative research to develop interest rates models, FX derivatives models, enhance existing pricing models, develop new methodologies for pricing, hedging, and risk management of interest rate & FX derivatives including derivative on SG interest rate proprietary indices. Lead the team of quantitative analysts working on designing and implementing pricing models for interest rate derivatives, FX derivatives and hybrids. Define the tasks for each member in this team and check their produced design document, source code, implemented solutions and testing. Maintain the pricing libraries and the pricing tools used by the trading in the pre‑trade for risk management and P&L estimation and provide an adequate support to trading, sales, engineers, IT users and risk validators in their use of these tools. Collaborate with interest derivative traders, financial engineering, structurers, and other stakeholders to understand business requirements when structuring new interest rate products and develop adequate pricing models, quantitative solutions and/or adapt existing pricing models to address these requirements. Mentor the junior team members, provide guidance on quantitative techniques, serve as one of the leading voices for quantitative design decisions and foster collaboration and knowledge sharing by maintaining regular contact with similar quantitative analysis teams within the organization, both locally and in other regions. Stay informed about the latest advancements in quantitative finance research related to interest rates derivatives and fixed‑income hybrids. Technical Skills Proficient in pricing a wide range of interest rate derivatives, including Caplets, Floorlets, Swaptions, Range Accrual Options, Cancellable Swaps, Bermudan Swaptions, Double‑Range Accrual Options, CMS Options, Bond Options, Bond Futures Options, Listed Futures Options, and T‑Locks. Strong understanding of interest‑rate linear and vanilla derivatives, such as Swaps, Futures, Forwards, Forward Swaps, Swaptions, Caps, Floors, and Bond Forwards. Experienced in working with exotic‑rate models such as Hull & White (HW) Model, HJM Model, BGM Model, and have implemented them for pricing interest‑rate exotic products. Proficient in mathematical methods applied to finance, including Monte‑Carlo and variance reduction, differential equations and grid backward/forward solving, optimization algorithms such as gradient descent, and interest‑rate curve stripping methodologies. Deep understanding of interest‑rate volatility surface structure, calibration, and SABR model, with the ability to maintain calibration and address arbitrability from volatility smiles. Proficiency in programming languages, including C# and Python, with a minimum understanding of C++ and experience in developing within a pricing library on a code‑sharing platform. Effective communication skills, able to articulate issues with trading, engineers, and head of trading, and provide clear explanations of model behavior and results from risk and P&L perspective. Experience Needed 7+ years in similar roles, quantitative analysis in financial institutions, investment banking, hedge fund, etc. Education Master’s degree in financial engineering and mathematics. Benefits Base salary range does not include overtime pay, bonus and/or other benefits, where applicable. Actual base salary offer will vary based on skills and experience. The role is eligible for an annual discretionary bonus and includes a competitive benefits package including a 401(k) plan with company match, medical/dental/vision, and other benefits for fertility, wellness, student loans and commuters. #J-18808-Ljbffr