BMO · 4 weeks ago
Director, Exotics Rates Quant
New York, NY, USA
Full-time
Onsite
Lead/Staff
$275K/yr - $275K/yrBMO Capital Markets is a leading, full-service financial services provider. The Exotics Rates Quant Director is responsible for quantitative and analytical activities for interest rate exotics trading desks, focusing on developing multi-factor term structure models and supporting trading and risk management efforts.
BankingCrowdfundingFinanceFinancial Services
Responsibilities
Developing and enhancing multi-factor term structure models such as Libor Market Model and Cheyette/HJM framework
Improving the robustness and accuracy of the model Greeks and PnL explain
Improving the accuracy and flexibility of volatility skew/smile calibration and correlation calibration
Supporting traders, senior management, and risk managers regarding deal modeling and pricing, hedging, risk measurement and management
Profiling and investigation of new innovative models/approaches to improve model performance
Interacting with the external control groups outside of FO such as model risk and market risk, and facilitating their understanding and oversight of models
Qualification
Required
Advanced post-graduate degree in a technical field (mathematics, physics, statistics, engineering, computer science, etc.)
Deep industry experience in multi-factor term structure modeling, in particular Libor Market Model
Deep industry experience in volatility skew/smile modeling, especially in the context of term structure models
Deep industry experience in interest rate options market
Familiarity with HJM framework and Cheyette model classes
Proficiency in software development using C#/.Net or C++
Broad knowledge in quantitative finance, pricing methodologies, numerical methods, market data sources, best data sources
Knowledge of Python and Excel
Strong teamwork mentality, and the ability to connect to the team and leverage existing resources and tools to advance business goals
Strong technical writing ability and strong communication skills
Benefits
Health insurance
Tuition reimbursement
Accident and life insurance
Retirement savings plans
Company
BMO
We’re a bank, but there’s more to it than that. When you join BMO, it opens a world of opportunities.
Founded in 1817
10001+ employees
H1B Sponsorship
BMO 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 (7)
2024 (2)
2023 (6)
2022 (4)
2021 (2)
2020 (2)
Funding
Current Stage
Public CompanyTotal Funding
$7.54B2025-10-23Post Ipo Debt· $142.91M
2025-02-26Post Ipo Debt· $871.76M
2024-07-09Post Ipo Debt· $750M
Leadership Team
David Casper
U.S. Chief Executive Officer
Azam Dawood
Head Of Sourcing
Recent News
2026-01-20
MarketScreener
2026-01-06
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