Vice President - Inflation Quant | SCIB (Inflation Derivatives)

Location: London, United Kingdom; based at the Triton Square offices.

Company

Corporate and Investment Banking provides customised wholesale products and services to corporate and institutional clients across Europe, the US, Latin America and Asia.

What you will do

• Design, develop and maintain models for inflation swaps, YoY and LPI structures, caps and floors, Bermudan options and other inflation-linked optionality.
• Research, develop and calibrate pricing models for inflation options, cap and floor markets and volatility analytics.
• Build and enhance inflation curve-construction methodologies, including calibration, interpolation, extrapolation and seasonality treatment.
• Develop production analytics for pricing, risk, calibration and scenario analysis across inflation and Rates products.
• Work with Structuring and Trading to implement modelling and pricing solutions for structured products with inflation components.
• Implement, test, optimise and support analytics in Python, C++ and Rust while modernising existing quantitative libraries.

Requirements

• MSc or equivalent in Mathematics, Physics, Engineering, Computer Science, Quantitative Finance or a related quantitative discipline.
• Professional experience developing pricing models for options or exotic derivatives within a bank, asset manager, hedge fund or similar financial-markets environment.
• Strong knowledge of interest-rate and/or inflation derivatives modelling, calibration and numerical techniques.
• Experience with inflation or Rates curve construction, including interpolation and calibration.
• Excellent programming skills in Python and/or C++, with experience using NumPy, SciPy and pandas.
• Understanding of model validation, documentation, model-risk governance and regulatory expectations, with strong communication skills.

Nice to have

• PhD in a relevant quantitative discipline.
• Experience with YoY options, LPI swaps, inflation caps and floors, Bermudan options, linkers and inflation-linked asset swaps.
• Front Office Quant experience in inflation options or hybrid Rates–inflation models.
• Professional Rust experience in a large-scale quantitative or trading analytics ecosystem.
• Experience with automated testing, continuous integration and deployment pipelines, version control and modern software development practices.

Culture & Benefits

• Collaborative, trading-aligned environment working with traders, structurers, quantitative developers, technology teams, risk managers and Model Validation.
• Competitive salary and discretionary performance-related annual bonus.
• Employer pension contribution of 8% of salary, rising to up to 12.5% when the employee contributes.
• 30 days of holiday plus bank holidays, increasing to 31 days after five years, with the option to purchase up to five additional contractual days.
• Company-funded private medical insurance, family healthcare options, income protection and death-in-service benefits.
• Access to share plans and discounted additional insurance products.