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.
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
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