Quantitative Software Engineer: Derivatives Relative Value

New York, New York, United States

Ref#: POS-12798

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Two Sigma is a financial sciences company, combining data analysis, invention, and rigorous inquiry to help solve the toughest challenges in investment management, insurance technology, securities, private equity, and venture capital. 

Our team of scientists, technologists, and academics looks beyond the traditional to develop creative solutions to some of the world’s most complex economic problems.

We are looking for a quantitative software engineer with the background in Fixed Income markets and products to join the team. In this role, you will work alongside researchers and traders on the development of various pricing and risk analytics as well as its integration into our proprietary quantitative research and portfolio management platform.

You will take on the following responsibilities:
  • Understanding of the group research and portfolio management workflows
  • Development and support of the OTC products valuation and risk analytics, including
  • Credit and Interest Rate Curves, Vol Surfaces in multiple currencies
  • P&L, Greeks, Scenario Analyses, Risk Reports
  • Transaction cost modeling
  • Simulation and back-testing frameworks
  • Related data management
You should possess the following qualifications:
  • 2+ years of experience of pricing analytics development and research at a sell side institution (desk quant for Rates, Credit, FX, EM) or similar role at a hedge fund or a buy-side firm
  • Knowledge of Fixed Income markets and products, derivatives pricing, curve construction
  • Strong programming skills with experience in scientific computing and data analysis techniques, familiarity with modern software development tools
  • Advanced Degree in the technical field - Mathematics, Physics, Computer Science or similar

You will enjoy the following benefits:
  • Core Benefits: Fully paid medical and dental insurance premiums for employees and dependents, competitive 401k match, employer-paid life & disability insurance
  • Perks: Onsite gyms with laundry service, wellness activities, casual dress, snacks, game rooms
  • Learning: Tuition reimbursement, conference and training sponsorship
  • Time Off: Generous vacation and unlimited sick days, competitive paid caregiver leaves

We are proud to be an equal opportunity workplace. We do not discriminate based upon race, religion, color, national origin, sex, sexual orientation, gender identity/expression, age, status as a protected veteran, status as an individual with a disability, or any other applicable legally protected characteristics.