Careers

Careers

Quantitative Valuation Analyst

Company Overview

We are a Boston-based investment manager that provides global and international equity investment strategies and fund products to institutional investors such as pension plans, endowments, foundations, and registered/unregistered commingled investment funds. We are a registered investment adviser with the U.S. Securities and Exchange Commission (SEC), and a registered commodity trading advisor and commodity pool operator with the U.S. Commodity Futures Trading Commission (CFTC).  Our firm manages over $90 billion for over 175 client relationships in North America, Europe and Australasia.  Our offices are located at 200 Clarendon Street, Boston, Massachusetts.

 

Job Description

We are looking for an experienced quantitative analyst with a focus on valuation of derivative instruments and fixed income products to join our research group.  This role requires deep understanding of and practical experience with modern pricing models for options, bonds, and interest rate derivatives.  The successful candidate will, for example, understand how to extract risk-neutral distributions from derivative prices and be able to build software to accurately and efficiently perform this extraction.  The capacity to efficiently approximate the hedge ratios of multi-underlier, path-dependent products is also necessary. 

As examples of relevant experience, a candidate who is a good fit for this role will likely be able to:

  • Price an option using a binomial tree without employing any references
  • Value interest-rate derivatives using a SABR model
  • Employ matrix pricing to analyze illiquid instruments

In the near term, the Quantitative Valuation Analyst will help us substantially enhance our historical data related to derivative instruments and fixed income products.   Those data will be used to aid us in predicting returns on related equities and currencies.

Our research group is a collaborative, intellectually rigorous team responsible for coming up with investment ideas, codifying those ideas into signals, back-testing the signals, and producing return and risk forecasts based on the signals to drive trading decisions. 

 

Qualifications

An ideal candidate will have:

  • An undergraduate degree from a top educational institution with a high GPA and high grades in challenging quantitative courses; a graduate degree in a field related to economics or finance is a plus
  • Significant experience in pricing derivative instruments and fixed income products 
  • Multiple years of substantial work on quantitative valuation problems:
    • Ability to price exotic options (build software that runs quickly and produces model prices correctly)
    • Demonstrated skill in calculating hedge ratios of structured products, including accurate approximation for efficiency purposes
    • Ability to implement modern curve-building methods in interest rates
  • Significant programming experience, preferably including experience with Python
  • The capacity to extract contract information from documents
  • Great communication skills
  • Broad interest in investment topics and ideas related not only to valuation problems but also to return forecasting, risk modeling and portfolio construction is a plus
     

Qualified candidates should submit a resume to recruiter@arrowstreetcapital.com. Please include a cover letter detailing your short and long-term career goals and copies of transcripts. No telephone calls please.

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