DESCRIPTION:

Duties: Performs research on pricing and other models. Develop models that will improve the trading process. Deploy the models in production environment to be used by traders. Improve machine learning platform that performs black-box optimization service for tuning hyperparameters in sophisticated machine learning models. Measure and understand the algorithm performances and generate report that can be reviewed to improve the business processes and further optimize the algorithms. Telecommuting permitted up to 20% of the week.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Financial Engineering, Statistics, Mathematics, or related field of study plus 1 year (12 months) of experience in the job offered or as a Quantitative Researcher, Quantitative Analyst, or related occupation.

Skills Required: Requires experience with the following: financial engineering; statistics; linear algebra, probability, Monte-Carlo, partial differential equations, machine learning, stochastic calculus; numerical programming; fixed income products (bonds, repo, interest rate swaps, exotic derivatives); Experience in estimating the PnL of one trade and/or a book of trades; Estimate the risk metrics of one trade; as well as a book of trades; Experience in modeling of the term structure of interest rates; Experience in the life cycles of the fixed income products. Programming languages including Python, Matlab, and C++; and databases including SQL, Kdb+. Experience in capital requirements according to Basel III (RWA/GSIB) financial rules.

Job Location: 383 Madison Avenue, New York, NY 10179. Telecommuting permitted up to 20% of the week.

Full-Time. Salary:  $205,000 - $285,000 per year.