Director, Exotics Rates Quant

BMO

Toronto, Canada
Base: $175,000 cad; bonus/equity: not specified; b...
Multi-factor term structure models
Libor market model
Volatility skew/smile calibration
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 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
  • volatility skew/smile calibration
  • C#/.Net or C++ development
  • quantitative finance
  • pricing methodologies

Nice-to-have

  • teamwork mentality
  • technical writing ability
  • Python and Excel proficiency

Key Requirements

  • Advanced post-graduate degree in 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
  • Familiarity with HJM framework and Cheyette model classes
  • Proficiency in C#/.Net or C++
  • Broad knowledge in quantitative finance
  • Strong teamwork mentality
  • Strong technical writing ability
  • Strong communication skills

Work Rights

Not specified

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