Quantitative Strategist, Global Quantitative Modeling and Analytics
DRW is a principal trading firm, which means no outside investors or third party funds rather we trade for our own account in markets around the world. Our trading is diverse—across asset classes and instruments, using our own models and systems—and it’s this diversification that sets us apart. We were founded in 1992 by bringing together technology, research, and risk management to capture trading and investment opportunities and we still take that approach today. Though we’ve grown to more than 1500 exceptional people around the world, we have the spirit of a start-up and a constant focus on results.
DRW is looking for an exceptional Quantitative Strategist with an expertise in fixed income, FX and commodities (precious and based metals), to join a team of highly talented financial engineers tasked with building a proprietary multi-asset class analytics platform. Your role will focus on supporting trading worldwide and developing and maintaining trading tools used for pricing, risk management and PnL analysis. You will be providing quantitative solutions by contributing to the modeling library and analytics services. You will be involved in all areas of quantitative modeling including the research, development, and testing of pricing models and trading tools 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 2+ years of experience in a Front Office desk quant or strat role at a major bank or buy-side firm
- have in-depth knowledge of at least one of the following asset classes:
- Fixed income and interest rates and emerging markets derivatives
- FX derivatives
- Base metals derivatives
- have hands on experience building and supporting user-facing interactive tools for pricing, risk management and PnL analysis of derivatives
- have a deep understanding of modern modeling methods used for pricing and risk management of linear and non-linear derivatives (including multi-curve models, stochastic and local volatility modeling, term structure modeling, etc.)
- have extensive hands on experience with Python, Excel and VBA
- have experience with C++
- can demonstrate expertise in stochastic calculus, probability theory, and other related fields of math
- have a graduate degree (Ph.D. is preferred) 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 equity derivatives
- experience with other programming languages such as C#, Java
- 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
- experience training less quantitative personnel on topics of quantitative analytics
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