Quant Researcher
Hong Kong

Quant Researcher

Millennium is a top tier global hedge fund with a strong commitment to leveraging innovations in technology and data science to solve complex problems for the business.

We are assembling a strong Quant Technology team to build our next generation in-house analytics and trader support tools.

This team will sit under the Fixed Income & Commodities Technology (FICT) group and will develop and maintain the in-house pricing libraries to support trading in Fixed Income, Commodities, Credit, and FX business at Millennium.

FICT provides a dynamic and fast-paced environment with excellent growth opportunities.

Responsibilities :

Work closely with Quants in Geneva, New York, London to develop fixed-income pricing and risk analytics for our in-house pricing library, as well as pre-trade analysis tools or Portfolio Managers

Front office position support our Asia based portfolio Managers that are using the new pricing library

Requirements :

Extensive experience with Rates analytics

Curve building and curve interpolation analytics for all curve tenors : OIS, Libor, Cross-currency, etc

Experience with Asian EM markets (products & curve construction) : INR, THB, HKD, SGD, CNY, etc

Cross-currency & FX curve pricing & modelling, including turn modelling

Vols products : Swaption, Mid Curve swaption, CMS spread option

Vol surface modelling : Sabr, etc

Strong analytical and mathematical skills

Strong problem solving capabilities

Strong experience C++ programming experience

Solid communication skills

Able to work independently in a fast-paced environment.

Detail oriented, organized, demonstrating thoroughness and strong ownership of work


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