Middle Office Analyst

Tudor Investment Corporation seeks a Middle Office Analyst in New York, NY to provide independent pricing verification for swaps, swaptions, forward rate agreements, credit default swaps and FX options, and commodity products such as crude options, freight contracts and equity options. Build, maintain and improve fixed income yield curves, option vol surfaces and credit curves. Maintain convertible bond pricing and price exotic derivatives. Liaise with Risk Management and Quantitative Technology groups to develop analytics initiatives.

• Requirements: Master’s degree in Financial Engineering, Financial Economics or related quantitative field plus 2 years experience developing valuation models and/or risk metrics reports in R, Matlab and/or Excel VBA using option pricing theory, interest rate and credit models, Monte Carlo simulation, binomial trees, convertible bonds, exotic derivatives and other financial engineering techniques. Requires 6 months experience pricing derivatives and fixed income products.

Wage range: $120,000 - $140,000 per year.