Director, Exotics Rates Quant
BMO US(1 month ago)
About this role
The Exotics Rates Quant Director at BMO Capital Markets leads quantitative and technical efforts for the interest rate exotics and structured notes trading desks. The role focuses on developing and enhancing multi-factor term structure models and maintaining the internal quantitative library to price and risk-manage swaptions, cap/floors, futures options, callable exotics and structured notes. The director provides models, tools and analytics to support traders, marketers and senior management in pricing, execution, hedging and risk monitoring.
Required Skills
- Term Structure
- Libor Model
- Cheyette HJM
- Volatility Calibration
- Options Markets
- C#
- C++
- Python
- Excel
- Numerical Methods
+6 more
Qualifications
- Advanced Postgraduate Degree in Technical Field (Mathematics, Physics, Statistics, Engineering, Computer Science)
About BMO US
bmo.comBMO offers a wide range of personal and business banking services, including checking & savings accounts, loans, lines of credit, credit cards and more.
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