DRW is a technology-driven, diversified principal trading firm. We trade our own capital at our own risk, across a broad range of asset classes, instruments and strategies, in financial markets around the world. As the markets have evolved over the past 25 years, so has DRW – maximizing opportunities to include real estate, cryptoassets and venture capital. With over 900 employees at our Chicago headquarters and offices around the world, we work together to solve complex problems, challenge consensus and deliver meaningful results. It’s a place of high expectations, deep curiosity and thoughtful collaboration.
DRW is looking for an exceptional Senior Quantitative Researcher with an expertise in fixed income, primarily focused on interest rate products, to join a team of highly talented engineers tasked with building a proprietary fixed income analytics platform. Your role will focus on all areas of quantitative research including the research, development, and testing of valuation models while working closely with the software engineers responsible for the analytics platform. Your work will be used throughout the organization on a daily basis by traders, risk managers, and back office analysts.
To qualify for this role, you:
- have 6+ years of experience in a Front Office quant role at a major bank or buy-side firm
- have in-depth knowledge of fixed income and interest rates products such as bonds, swaps, cross-currency swaps, futures, swaptions, caps/floors, futures options, mid-curve options, etc.
- have a deep understanding of modern modeling methods used for pricing and risk management of linear and non-linear interest rates derivatives (including multi-curve models, stochastic and local volatility modeling, CMS, curve options, etc.)
- have experience with developing term structure models (LMM, LGM, QGM, Cheyette, etc.)
- have experience modeling inflation derivatives and inflation-linked bonds
- have at least 5 years of professional experience with C++ including C++ 11/14
- experience in design and architecture of analytics libraries including the API
- have hands on experience integrating analytics libraries with large scale software systems and services
- extensive hands on experience with Python, Excel and VBA
- can demonstrate expertise in stochastic calculus, probability theory, and other related fields of math
- have a Ph.D. in a quantitative field such as physics, mathematics, operations research or financial engineering
- have strong communication and collaboration skills with the ability to work within a multi-disciplinary team that includes traders, software engineers, and quants
Bonus points if you have:
- experience with other programming languages such as C#, Java
- experience with derivatives in asset classes such as FX, Commodities, Equity, EM
- experience with development of relative value models for fixed income and interest rates derivatives
- experience with optimizing numerical calculations for optimal performance
- experience leading research initiatives/projects with limited oversight
- experience with statistical analysis and working with large datasets provided in relational or key-value databases
- created interactive tools built on top of the analytics you’ve provided
- experience training less quantitative personnel on topics such as fixed income analytics
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