Societe Generale · 8 hours ago
Senior Quantitative Specialist
New York, United States
Full-time
Hybrid
Senior Level
$149K/yr - $500K/yr
7+ years expSociete Generale is a financial institution seeking a Senior Quantitative Specialist to lead a team in developing and enhancing quantitative models for interest rate and FX derivatives. The role involves conducting research, mentoring junior analysts, and collaborating with traders and stakeholders to create effective pricing methodologies.
Asset ManagementBankingFinancial ServicesInsurancePersonal Finance
Responsibilities
Conduct quantitative research to develop interest rates models, FX derivatives models, enhance existing pricing models, develop new methodologies for pricing, hedging, and risk management of interest rate & FX derivatives including derivative on SG interest rate proprietary indices
Lead the team of quantitative analysts working on designing and implementing pricing models for interest rate derivative, FX derivatives and hybrids. Define the tasks for each member in this team and check their produced design document, source code, implemented solutions and testing
Maintain the pricing libraries and the pricing tools used by the trading in the pre-trade for risk management and P&L estimation and provide an adequate support to trading, sales, engineers, IT users and risk validators in their use of these tools
Collaborate with interest derivative traders, financial engineering, structurers, and other stakeholders to understand business requirements when structuring new interest rate products and develop adequate pricing models, quantitative solutions and/or adapt existing pricing models to address these requirements
Mentor the junior team members, provide guidance on quantitative techniques, serve as one of leading voice for quantitative design decisions and foster collaboration and knowledge sharing by maintaining regular contact with similar quantitative analysis teams within the organization, both locally and in other regions
Stay informed about the latest advancements in quantitative finance research related to interest rates derivative and fixed income hybrids
Qualification
Required
Proficient in pricing a wide range of interest rate derivatives, including Caplets, Floorlets, Swaptions, Range Accrual Options, Cancellable Swaps, Bermudans Swaptions, Double Range Accrual Options, CMS Options, Bond Options, Bond Futures Options, Listed Futures Options, and T-Locks
Strong understanding of Interest Rate Linear and Vanilla Derivatives, such as Swaps, Futures, Forwards, Forward Swaps, Swaptions, Caps, Floors, and Bond Forwards
Experienced in working with Exotic-Rate Models such as Hull & White (HW) Model, HJM Model, BGM Model, and implemented them for pricing Interest Rate exotic products
Proficient in mathematical methods applied to finance, including Monte Carlo and variance reduction, Differential Equations and Grid Backward/Forward Solving, optimization algorithms such as Gradient Descent, and interest rates curves stripping methodologies
Deep understanding of interest rate volatility surface structure, calibration, and SABR model, with the ability to maintain calibration and address arbitrability from volatility smiles
Proficiency in programming languages, including C# and Python, with a minimum understanding of C++, and experience in developing within a pricing library in a code sharing platform
Effective communication skills, able to articulate issues with trading, engineers, and head of trading, and provide clear explanations of model behavior and results from risk and P&L perspective
7+ years on similar roles, Quantitative analysis in financial institution, investment banking, Hedge fund,…)
Master's degree in financial engineering and mathematics
Benefits
401(k) plan with company match
Medical/Dental/Vision
Other benefits for fertility, wellness, student loans and commuters
Company
Societe Generale
Societe Generale is a financial services organization that offers retail, corporate, and investment banking services.
10001+ employees
H1B Sponsorship
Societe Generale has a track record of offering H1B sponsorships. Please note that this does not
guarantee sponsorship for this specific role. Below presents additional info for your
reference. (Data Powered by US Department of Labor)
Distribution of Different Job Fields Receiving Sponsorship
Represents job field similar to this job
Trends of Total Sponsorships
2025 (9)
2024 (9)
2023 (4)
2022 (7)
2021 (18)
2020 (19)
Funding
Current Stage
Public CompanyTotal Funding
$111.84M2024-07-15Post Ipo Debt· $26M
2023-12-04Post Ipo Debt· $10.84M
2021-10-01Post Ipo Debt· $15M
Leadership Team
Jerome Niddam
CEO, Asia Pacific
Stephane About
Chief Executive Officer
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