Bank Of America Vice President Rates Quantitative Strategist Global Markets 

Japan, Tokyo 

26763103

Responsibilities

• Implementation, enhancement and support of pricing models for the valuation and risk management of linear and non-linear interest rates derivatives (including hybrids).
• Build expertise in curve construction, volatility modeling, exotic product development and automation of pricing and risk tools.
• Extend in-house strategic data analytics applications.
• Provide robust solutions to analytic queries from Front Office and business partners.
• Work closely with Technology team to roll out enhancements into production
• Collaborate with other quant rates team globally.

Requirements

• Masters degree or higher in a quantitative field such as mathematics, engineering or physics is a pre-requisite.
• Solid knowledge of stochastic calculus, probability theory and good understanding of pricing models for interest rates derivatives.
• Familiarity with implementation of numerical methods.
• Strong coding skills in C++ and Python required.
• Excellent verbal and written communication skills with the ability to explain complex issues in an intuitive way.
• Prior work experience in a front-office quant/strat role desirable.
• Able to prioritize, react quickly and work under tight deadlines.
• Team player with strong integrity and maturity to work independently.