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Quantitative Analyst - Fixed Income

Hudson River Trading is a multi-asset class quantitative trading firm.

(more about Hudson River Trading)
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Quantitative Analyst - Fixed Income

HRT is seeking a quantitative analyst to join our efforts in developing strategies in interest rate and credit derivatives. Responsibilities of a quantitative analyst will include applying techniques from stochastic calculus to implement models for pricing of interest rate volatility via swaptions, and more generally all fixed income derivatives. We then aim to use such models and other techniques, such as data analysis based on classical statistics and machine learning, to guide trading in fixed income products.

Interest and experience in programming are essential in this role because you will be responsible for not only prototyping and conducting research into various strategy components, but also writing code to productionalize these ideas. In particular, experience programming in C++ is required, and familiarity with modern language features (C++ 11/14/17) is a plus.

HRT employees enjoy a collegial and non-siloed environment, and you can and will work closely with other researchers and various teams across the firm to develop new ideas and refine existing tools and models.

Responsibilities

  • Applying techniques from stochastic calculus to implement models for pricing of fixed income derivatives, specifically swaptions
  • Carefully model various instruments and market conventions in the fixed income pricing library
  • Feed data from various sources into the models to generate alpha signals
  • Alpha research to develop new and improve existing strategies

Profile

  • An advanced degree in financial mathematics or a similar field, or an undergraduate degree in a quantitative discipline 
  • 2+ years of experience developing pricing models required
  • Experience developing interest rate derivatives pricing models strongly preferred; experience with interest rate swaptions a plus
  • Exceptional academic credentials
  • Attention to detail and desire to understand issues deeply
  • Strong communication skills and ability to explain complex derivative pricing models to colleagues not familiar with them
  • Outstanding work ethic and ability to thrive in a fast-paced environment
  • Entrepreneurial mindset and ability to connect the dots between mathematical models and the real-world market behavior
  • Working knowledge of interest rate derivatives and relevant modelling techniques
  • Strong numerical programming skills, including required proficiency in C++
  • Experience working with data in Python is a plus

Annual base salary range of $200,000 to $250,000. Pay (base and bonus) may vary depending on job-related skills and experience. A sign-on and discretionary performance bonus may be provided as part of the total compensation package, in addition to company-paid medical and/or other benefits.

Culture

Hudson River Trading (HRT) brings a scientific approach to trading financial products. We have built one of the world's most sophisticated computing environments for research and development. Our researchers are at the forefront of innovation in the world of algorithmic trading.

At HRT we welcome a variety of expertise: mathematics and computer science, physics and engineering, media and tech. We’re a community of self-starters who are motivated by the excitement of being at the cutting edge of automation in every part of our organization—from trading, to business operations, to recruiting and beyond. We value openness and transparency, and celebrate great ideas from HRT veterans and new hires alike. At HRT we’re friends and colleagues – whether we are sharing a meal, playing the latest board game, or writing elegant code. We embrace a culture of togetherness that extends far beyond the walls of our office.

Feel like you belong at HRT? Our goal is to find the best people and bring them together to do great work in a place where everyone is valued. HRT is proud of our diverse staff; we have offices all over the globe and benefit from our varied and unique perspectives. HRT is an equal opportunity employer; so whoever you are we’d love to get to know you.