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Wells Fargo is seeking a Vice President Front Office Interest Rates Quant Developer to join the Corporate and Investment Banking organization in City of London. This role focuses on developing and implementing advanced quantitative models for risk management and trading of interest rate products.
The successful candidate will work on linear and non-linear rates products, structured rates, and hybrids with emphasis on term structure and volatility model frameworks such as SABR, Cheyette, and Quadratic Gaussian models. This is a strategic initiative building next-generation models for integration into a cross-asset quantitative risk and trading platform.
Improve quant library C++ code and implement object serialization. Enhance library testing framework using Python and automate ongoing model monitoring. Support Jenkins build processes and implement new PDE pricers with automatic differentiation. Develop and implement quantitative models for interest-rate products and build pricing and risk analytics.
The role involves close collaboration with traders, technology partners, and cross-asset quantitative teams. You will contribute to curve construction and volatility cube calibration for trading and risk-management applications while working on cutting-edge quantitative finance technology.