This is a VP level role working alongside the hiring manager, offering high visibility and strong career progression potential, including opportunities to move into technical leadership or senior modelling roles. You will also play a key part in shaping the core modelling infrastructure that supports the bank’s structured rates trading activities worldwide.
Salary: £120k - £165k + bonus
About the Role
This opportunity sits within the Front Office Quant Analytics team, part of the broader Quant division in Markets, working alongside desk quants, quant developers, validators, and other specialist groups. The team’s focus is on delivering best-in-class pricing models and ensuring robust model governance for exotic interest rate products used across structured rates desks.
As a hands-on quantitative modeller, you will:
* Develop, maintain, and enhance high-quality pricing models for complex exotic interest rate derivatives
* Ensure model integrity, robustness, and consistency throughout the trading lifecycle
* Lead model implementation, rigorous testing, ongoing monitoring, and documentation
* Provide expert input and challenge on pricing methodologies and model design decisions
* Collaborate closely with traders, front office quants, product control, and other stakeholders to deliver models fit for front-office use
* Contribute to the governance and continuous improvement of the modelling frameworks
What We’re Looking For
* We are seeking candidates with strong expertise in pricing exotic interest rate products, with a minimum of 4 years of direct hands-on experience in building or enhancing pricing models, ideally gained within a front office quant, model development, or structuring team in an investment bank environment.
Candidate Profile
* 4+ years of recent experience in modelling exotic interest rate derivatives. (non-negotiable)
* Deep understanding of risk-neutral pricing theory, PDEs, stochastic calculus, and numerical methods
* Experience with Python for analysis, testing, and prototyping (e.g., Jupyter notebooks)
* Familiarity with models such as Hull-White, SABR, LMM, or BGM
* Extra bonus to have C++ for production-level model implementation
* KEY: Strong communication skills! The role implies a significant level of governance, so we also need that person to interact efficiently and confidently with all stakeholders involved in the model lifecycle and usage
* MSc or PhD in a quantitative discipline (Mathematical Finance, Physics, Engineering, or equivalent)
If this sounds like a fit for your skills and aspirations, we’d love to hear from you.