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Exotic Rates/Muni Quant - VP

Selby JenningsManhattan, NY🇺🇸United StatesPosted 17 Aug 2026

Why This Role Stands Out

This VP-level Exotic Rates/Muni Quant role offers a unique opportunity to develop cutting-edge pricing models and analytics for complex financial products within a hybrid work environment. You'll thrive here if you possess strong C++ and Python skills, deep expertise in interest rate modeling, and a passion for supporting trading desks with innovative solutions. Apply now to leverage your quantitative prowess and contribute to a dynamic team.

Quick Overview

Work Type
Hybrid
Schedule
Full Time
Level
Leader

Job Description



Key Responsibilities

  • Develop, enhance, and maintain pricing models and analytics for exotic and nonlinear interest rate products within a C++ quantitative library.
  • Support municipal derivatives trading activities, including pricing, risk management, valuation, model calibration, and trade analysis.
  • Design and implement analytics for products with embedded optionality, callable structures, and structured fixed income solutions.
  • Build Python-based tools and interfaces leveraging core pricing models and infrastructure.
  • Manage daily model calibration processes, risk reporting, P&L explain, and model reconciliation.
  • Partner closely with traders, structurers, technology, model validation, and risk management teams on model development and deployment.
  • Drive automation and enhancements to quantitative infrastructure and model governance processes.


Required Experience

  • Strong front-office experience in exotic rates, nonlinear rates, or interest rate derivatives quantitative modeling.
  • Expert-level C++ development skills with experience building production pricing and risk analytics.
  • Strong Python skills for quantitative development and analytics.
  • Deep knowledge of interest rate modeling, volatility modeling, and derivative pricing frameworks.
  • Experience with short-rate models, calibration techniques, and fixed income derivatives risk management.
  • Proven track record supporting trading desks in a front-office environment.


Preferred Background

  • Rates exotics, callable structures, Bermudan swaptions, structured rates, or interest rate options.
  • Experience modeling products with significant embedded optionality.
  • Municipal derivatives or municipal fixed income experience.
  • Exposure to SOFR-based rates products and yield curve analytics.





Skills

Derivatives
C++
Fixed Income
Python
Reconciliation
Risk Management

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