金利およびFXデリバティブの価格決定モデルの研究・開発を行い、クオンツ分析チームをリードする役割です。金融工学または数学の修士号が必須であり、金融機関での7年以上のクオンツ分析経験が求められます。C#およびPythonの習熟度とC++の基礎知識が必要で、デリバティブのモデリングやリスク管理の経験が不可欠です。チームのタスク管理や設計・コードのレビューを行うリーダーシップが求められます。
Corporate & Investment banking
Permanent contract
New York, New York, United States
Hybrid
Salary from 149,000 to 450,000
Reference 24000MUJ
Start date Immediately
Publication date 2026/06/05
Conduct quantitative research to develop interest rates models, FX derivatives models, enhance existing pricing models, develop new methodologies for pricing, hedging, and risk management of interest rate & FX derivatives including derivative on SG interest rate proprietary indices.
Lead the team of quantitative analysts working on designing and implementing pricing models for interest rate derivative, FX derivatives and hybrids. Define the tasks for each member in this team and check their produced design document, source code, implemented solutions and testing.
Maintain the pricing libraries and the pricing tools used by the trading in the pre-trade for risk management and P&L estimation and provide an adequate support to trading, sales, engineers, IT users and risk validators in their use of these tools.
Collaborate with interest derivative traders, financial engineering, structurers, and other stakeholders to understand business requirements when structuring new interest rate products and develop adequate pricing models, quantitative solutions and/or adapt existing pricing models to address these requirements.
Mentor the junior team members, provide guidance on quantitative techniques, serve as one of leading voice for quantitative design decisions and foster collaboration and knowledge sharing by maintaining regular contact with similar quantitative analysis teams within the organization, both locally and in other regions
Stay informed about the latest advancements in quantitative finance research related to interest rates derivative and fixed income hybrids.
Proficient in pricing a wide range of interest rate derivatives, including Caplets, Floorlets, Swaptions, Range Accrual Options, Cancellable Swaps, Bermudans Swaptions, Double Range Accrual Options, CMS Options, Bond Options, Bond Futures Options, Listed Futures Options, and T-Locks.
Strong understanding of Interest Rate Linear and Vanilla Derivatives, such as Swaps, Futures, Forwards, Forward Swaps, Swaptions, Caps, Floors, and Bond Forwards.
Experienced in working with Exotic-Rate Models such as Hull & White (HW) Model, HJM Model, BGM Model, and implemented them for pricing Interest Rate exotic products.
Proficient in mathematical methods applied to finance, including Monte Carlo and variance reduction, Differential Equations and Grid Backward/Forward Solving, optimization algorithms such as Gradient Descent, and interest rates curves stripping methodologies.
Deep understanding of interest rate volatility surface structure, calibration, and SABR model, with the ability to maintain calibration and address arbitrability from volatility smiles.
Proficiency in programming languages, including C# and Python, with a minimum understanding of C++, and experience in developing within a pricing library in a code sharing platform.
Effective communication skills, able to articulate issues with trading, engineers, and head of trading, and provide clear explanations of model behavior and results from risk and P&L perspective.
At Societe Generale, we live by our 4 core values of commitment, responsibility, team spirit and innovation. We are engaged and demonstrate consideration for others. We act ethically and with courage. We focus our talent and energy on collective success. We experiment and propose new ideas. This way, we maximize our ability to serve client needs and anticipate market changes. Societe Generale is committed to strengthening bonds with colleagues, communities, and the world in which we live, because relationships are at the heart of how we operate. For more information about our Culture and Conduct initiatives, please visit this link
Our Diversity & Inclusion Mission: Recruit, develop, advance, and retain a diverse workforce that is united in our efforts to enhance our competitive position and deliver innovative solutions to our clients.
Our Diversity & Inclusion Vision:
For more information about our D&I initiatives, please visit this link
For most positions, Societe Generale offers a hybrid work arrangement that offers employees the flexibility to work remotely, as well as on-site, in order to promote interaction and collaboration with colleagues while adhering to all SG standard protocols. Hybrid work arrangements vary based on business area. The applicable Business lines will determine and communicate the work arrangements that best meet their business needs.
Base salary range does not include overtime pay, bonus and/or other benefits, where applicable. Actual base salary offer will vary based on skills and experience. The role is eligible for an annual discretionary bonus and includes a competitive benefits package including 401(k) plan with company match, Medical/Dental/Vision, and other benefits for fertility, wellness, student loans and commuters.
Societe Generale is an equal opportunity employer, and we are proud to make diversity a strength for our company. We are committed to recognizing and promoting the talents and achievements of our employees and staff, regardless of race, religion, color, national origin, sex, disability, age, gender, sexual orientation, and any other characteristic or status protected under applicable law.
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Senior Quantitative Specialist
Permanent contract
New York, New York, United States
Hybrid
Salary from 149,000 to 450,000
Responsibilities Profile required Business insight Diversity and Inclusion
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