What You'll Do
Develop and calibrate pricing models for Fixed Income instruments, OTC Derivatives, and Exotic Derivatives. Implement stochastic models for various risk classes and maintain volatility surfaces using models like SABR, Heston, and Local Volatility. Optimize high-performance calculation kernels in C++, Python, and CUDA/OpenCL for GPU parallelization.
What We're Looking For
Bachelor's degree in quantitative fields such as Applied Mathematics, Physics, Engineering, Mathematical Economics, Statistics, or Computer Science. Minimum of 4 years of proven experience in Core Quant, Quantitative Development, Risk Quant, or related areas in financial institutions. Proven experience in pricing OTC derivatives and structured fixed income in the Brazilian market.
What We Offer
The position offers a flexible work model and includes a health plan, dental plan, wellness benefits, and a flexible food allowance. Parental leave policies are generous, with 6 months for maternity and 20 days for paternity. Additional financial benefits include exclusive investment funds and advisory services.
Key Skills & Technologies
Additional Information
Experience Level
Senior
Job Language
Portuguese
Employment Type
Full-time
Work Mode
Hybrid