Interest Rates Products Strats - FICC

Location(s) US-NY-New York
Job ID
Schedule Type
Full Time
Quantitative Engineer
Business Unit
FICC Product Strats
Employment Type


What We Do

Our team is responsible for the analytics, pricing models and risk management of the US interest rate products trading business. We work in active collaboration with the trading desk on model development, quantitative risk management strategies, automated quoting methodologies and pricing trades of varying complexities ranging from vanilla swaps to exotic options, and with colleagues in engineering on developing and enhancing core analytics methodologies and infrastructure, with the shared goal of building a world class rates market making platform.


Your Impact

As a strategist in the Global Markets Division, you will play an integral role on the trading floor. You will build cutting-edge derivative pricing models and empirical models to provide insight into market behavior, develop quantitative risk management strategies and automated quoting and trading methodologies for the firm, be involved in analyzing exposures and structuring transactions to meet client needs, and work closely with platform teams designing and developing complex parallel computing architectures, electronic trading tools, and advanced algorithms. As a front office desk strategist, you will have a unique position to leverage quantitative expertise and technological innovations to solve complex and challenging problems for the trading desk and global markets franchise.



You will primarily focus on the non-linear rates businesses which span interest rate derivatives of varying complexity ranging from vanilla options to callable exotics. Your responsibilities will include building, maintaining and enhancing pricing models, quantitative risk management and quoting methodologies, and tools used by the trading desk for complex risk analyses, with a continued focus on systematizing market making, leveraging proprietary franchise and market data. 


Basic Qualifications

  • Undergraduate or higher degree with major in computer science, engineering, applied math, physics or similar.
  • 2 or more years of experience in a quantitative role, either as a buy or sell side quant, or research experience in physics, applied math or quant finance.
  • Strong programming experience in C/C++/Java or similar. 

Preferred Qualifications

  • Proficiency in stochastic calculus, applied probability, optimization, numerical analysis, algorithms, data structures
  • Experience as a front office desk quant within interest rate products, expertise in interest rate models such as volatility surface, skew and term structure models
  • Experience implementing pricing models and/or risk analytics in a production setting, preferably implemented in a high performing language such as C/C++/Java


At Goldman Sachs, strategists have provided the quantitative and technological edge to the increasingly sophisticated and complex trading franchise for decades, and partnered with trading desks, sales and engineering teams to build massive technological scale ranging from quantitative pricing models and solutions for products of varying complexities, massively scalable risk engines, automated market making stacks, analyzing complex risk exposures, to low-latency infrastructure that forms the bedrock of all the proprietary technology used in the firm.


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