Base: $175,000 cad; bonus/equity: not specified; b...
Multi-factor term structure models
Libor market model
Cheyette/hjm framework
The Exotics Rates Quant Director is responsible for the entire spectrum of quantitative, analytical, technical, and development activities for the interest rate exotics/structured notes trading desks
Job Summary
The Exotics Rates Quant Director is responsible for the entire spectrum of quantitative, analytical, technical, and development activities for the interest rate exotics/structured notes trading desks.
The mandate involves developing and supporting our internal math finance library to price and risk manage swaptions, cap/floors, futures options, callable rates exotics and structured notes.
BMO also offers health insurance, tuition reimbursement, accident and life insurance, and retirement savings plans.
Matching Summary
The Exotics Rates Quant Director is responsible for the entire spectrum of quantitative, analytical, technical, and development activities for the interest rate exotics/structured notes trading desks.
Salary
Base: $175,000 CAD; Bonus/Equity: Not specified; Benefits: health insurance, tuition reimbursement, accident and life insurance, retirement savings plans
Skills & Requirements
Must-have
Multi-factor term structure models
Libor Market Model
Cheyette/HJM framework
Volatility skew/smile calibration
C#/.Net or C++ proficiency
Quantitative finance knowledge
Nice-to-have
Python and Excel knowledge
Strong teamwork mentality
Technical writing ability
Communication skills
Key Requirements
Advanced post-graduate degree in a technical field
Deep industry experience in multi-factor term structure modeling
Deep industry experience in volatility skew/smile modeling
Deep industry experience in interest rate options market