Director, Exotics Rates Quant

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BMO Capital Markets is a leading, full-service financial services provider. We offer corporate and investment banking, treasury management, as well as research and advisory services to clients around the world. #bmocapitalmarkets

The Exotics Rates Quant Director is responsible for the entire spectrum of quantitative, analytical, technical, and development activities for the interest rate exotics/structured notes trading desks, with a particular focus in enhancing/developing multi-factor term structure models such as Libor Market Model or Cheyette/HJM models for callable rates exotics. The mandate involves developing and supporting our internal math finance library to price and risk manage swaptions, cap/floors, futures options, callable rates exotics and structured notes. The role also entails supporting traders, marketers and BMO CM senior management w...