Interest Rates, this person will:

• Support market making operations on US Treasury cash and futures products and interest-rate swaps.
• Possess a strong background in interest-rate products
• Develop pricing models for cash and futures interest-rate products
• Develop forward curves using various exchange-traded and OTC interest-rate products
• Manage development and implementation of quantitative strategies
• Have good C# or C++ Skills
• Apply advanced risk management techniques to the desk’s book.

Volatility Specialist, this person will:

• Research, develop, and implement tools and models relating to option volatility.
• Perform research in academic literature, creating and validating models used for the volatility surface
• Modify models for differences in product and regime, and implement solutions in a reasonable way
• Confront practical situations untouched by academics, while collaboratively and independently solving unique problems quickly and accurately.
• Create practically and mathematically robust solutions and models that properly account for risk

Index Options, this person will:

• Have a solid understanding of the US listed options market, especially index options.
• Have experience with Monte Carlo techniques, Stochastic Calculus and Vol modeling.
• Develop models to price options on broad based indexes, both on cash and futures.
• Develop rich/cheap indicators.
• Develop models of volatility term structures.
• Apply advanced risk management techniques to the desk’s book.

Equity Options, this person will:

• Have a strong background in equity options modeling and correlation management
• Develop models and strategies for option portfolios, including price, volatility and risk
• Work directly with technology teams to build tools for market making options on major options exchange.
• Have experience in developing models and strategies for options pricing.
• Have a deep understanding of correlation and dispersion trading and modeling
• An advanced quantitative degree (PhD/MS) in engineering, mathematics or science
• Familiarity with C# development on the .net platform preferred.
• Trading experience a plus.