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 1000 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 Quantitative Researcher with an expertise in fixed income, primarily focused on interest rate products, to join a team of highly talented quants and engineers tasked with building, supporting, and extending the functionality of a proprietary multi asset class analytics platform.  Your role will focus on all areas of quantitative research including the research, development, and testing of valuation models and related 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/strat 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, inflation linked bonds, inflation swaps, etc.
  • have hands on experience building and supporting user-facing interactive tools for pricing, risk management and scenario analysis of derivatives
  • 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.)
  • extensive hands on experience with Python, Excel and VBA
  • have experience with C++ including C++ 11/14/17
  • 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 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
  • experience training less quantitative personnel on topics such as fixed income analytics

For more information about DRW's processing activities and our use of job applicants' data, please view our Privacy Notice at https://drw.com/privacy-notice.

California residents, please review the California Privacy Notice for information about certain legal rights at https://drw.com/california-privacy-notice.

 

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