Core Quant
Core
Ensures precise mathematical pricing, computational performance, and regulatory compliance for all financial instruments, serving as the central layer between trading strategy and operational execution.
Role type
Senior Core Quantitative Analyst (Derivatives & Fixed Income)
Builds
Pricing engines and valuation models for OTC derivatives and structured fixed income products
Domain
Brazilian Financial Markets (B3, OTC) + Quantitative Finance
Deliverable
production ML models
Required skills
Derivatives pricing (OTC, structured), Stochastic modeling, Volatility surface modeling (SABR, Heston, Local Vol), Numerical methods (Monte Carlo, Binomial/Trinomial trees, PDE), High-performance computing (C++, CUDA/OpenCL), Model validation & calibration, Edge case identification
Preferred skills
Master's or PhD in quantitative fields, Experience with GPU parallelization, Mentorship of junior quants
Technologies
C++, Python, CUDA, OpenCL, Monte Carlo, PDE solvers
Responsibilities
Develop and calibrate pricing models for fixed income, OTC derivatives, and exotic derivatives; Implement stochastic models for risk classes; Build and maintain volatility surfaces; Develop high-performance calculation kernels; Calculate and validate first and second-order Greeks; Implement unit, regression, and stress tests; Document models per governance guidelines; Mentor junior and mid-level quants
Seniority
Senior, hands-on IC