Application Deadline:

03/16/2025

Address:

151 W 42nd Street

Job Family Group:

Capital Mrkts Sales & Service

BMO Capital Markets is a leading, full-service financial services provider. We offer corporate and investment banking, treasury management, as well as research and advisory services to clients around the world. #bmocapitalmarkets

The MFL (Mathematical Finance Library) Equity Quant is responsible for the entire spectrum of quantitative, analytical, technical, and development activities for the equity derivative trading desks, with a particular focus on volatility surface calibration and modeling. The mandate is to provide traders, marketers, BMO CM senior management and our external control groups (Risk Reporting, Risk Oversight, Valuation Product Control, etc.) with the models, tools, analytics, reports, market data and information to effectively price, execute and hedge new transactions and to understand, monitor and manage existing risk. Tasks include:

Developing new mathematical and computational methods for modeling equity volatility surfaces and pricing and managing risk, and integrating models into MFL library and applications

Maintaining existing suite of equity volatility surface models and calibration algorithms

Helping traders to monitor and manage volatility risks

Interacting with the external control groups outside of FO and facilitating their understanding and usage of MFL vol surfaces

Profiling and investigation of new volatility models/approaches to improve performance

The role will require the following skills and aptitudes:

Advanced university degree in a technical field (mathematics, physics, statistics, engineering, computer science, etc.)

Industry experience supporting an equity derivative business is a plus

Broad knowledge in equity volatility surface, dividend curve, equity repo rates and forward modeling, best practices, market data sources, calibration methodologies

Software development experience (.NET, C++, Python)

Strong technical writing ability

Strong communication skills, with the ability to deal effectively with a wide range of colleagues. This includes other technical professionals, traders, marketers, senior management, back office, and risk management

Salary:

Associate - $150,000, VP- $250,000 USD

Salary:

Pay Type:

Salaried

The above represents BMO Financial Group’s pay range and type.

Salaries will vary based on factors such as location, skills, experience, education, and qualifications for the role, and may include a commission structure. Salaries for part-time roles will be pro-rated based on number of hours regularly worked. For commission roles, the salary listed above represents BMO Financial Group’s expected target for the first year in this position.

BMO Financial Group’s total compensation package will vary based on the pay type of the position and may include performance-based incentives, discretionary bonuses, as well as other perks and rewards. BMO also offers health insurance, tuition reimbursement, accident and life insurance, and retirement savings plans. To view more details of our benefits, please visit: https://jobs.bmo.com/global/en/Total-Rewards

About Us

At BMO we are driven by a shared Purpose: Boldly Grow the Good in business and life. It calls on us to create lasting, positive change for our customers, our communities and our people. By working together, innovating and pushing boundaries, we transform lives and businesses, and power economic growth around the world.

As a member of the BMO team you are valued, respected and heard, and you have more ways to grow and make an impact.  We strive to help you make an impact from day one – for yourself and our customers.  We’ll support you with the tools and resources you need to reach new milestones, as you help our customers reach theirs. From in-depth training and coaching, to manager support and network-building opportunities, we’ll help you gain valuable experience, and broaden your skillset.

To find out more visit us at http://jobs.bmo.com/us/en

BMO is proud to be an equal employment opportunity employer. We evaluate applicants without regard to race, religion, color, national origin, sex (including pregnancy, childbirth, or related medical conditions), sexual orientation, gender identity, gender expression, transgender status, sexual stereotypes, age, status as a protected veteran, status as an individual with a disability, or any other legally protected characteristics. We also consider applicants with criminal histories, consistent with applicable federal, state and local law.

BMO is committed to working with and providing reasonable accommodations to individuals with disabilities. If you need a reasonable accommodation because of a disability for any part of the employment process, please send an e-mail to BMOCareers.Support@bmo.com and let us know the nature of your request and your contact information.

Note to Recruiters: BMO does not accept unsolicited resumes from any source other than directly from a candidate. Any unsolicited resumes sent to BMO, directly or indirectly, will be considered BMO property. BMO will not pay a fee for any placement resulting from the receipt of an unsolicited resume. A recruiting agency must first have a valid, written and fully executed agency agreement contract for service to submit resumes.