In-depth knowledge of yield curve construction and volatility modeling including (but not limited to) the SABR model and its extensions Strong knowledge of modern approaches to modeling interest rates derivatives including: o Swaps o Caps/Floors o Swaptions o IR Futures Options o CMS Swaps/Caps/Floors o Bond-based derivatives (TRS, Rate Locks, Bond Options, Futures and Options on Bond Futures)
Strong knowledge of financial mathematics including stochastic calculus Experience with numerical methods (Monte Carlo, numerical integration, PDE/ODE solving techniques) Extensive hands-on experience with C++ development Expert level knowledge of Excel/VBA Sound technical knowledge and analytical skills. Follow established testing procedures, standards and processes Lead in knowledge transfer within the team, and business units globally. Exposure to xVA modeling is a plus Exposure to commodities and FX derivatives modeling is a plus
Develop and maintain relationships with Client(s), Relationship Managers and Project Managers. Work effectively in a team, supporting other team members in achieving project/ business objectives and providing client services. Support a positive work environment that promotes customer service, quality, innovation and teamwork and ensure timely communication of issues/ points of interest.
2-3 years of experience as a front office derivatives quant in investment banks. Interest rate or FX options or Commodity Derivatives.
Proven team player.
Ability to work with geographically distributed teams
Ability to address trading requirements in a timely manner
Relationships – all-round relationship builder, with clients, team, peers across different jurisdictions and with a diverse set of people
Strong oral and written communication skills; ability to articulate complex concepts and technical ideas to non-technical personnel clearly
Excellent problem solving ability
At TD, we are committed to fostering an inclusive, accessible environment, where all employees and customers feel valued, respected and supported. We are dedicated to building a workforce that reflects the diversity of our customers and communities in which we live in and serve, and creating an environment where every employee has the opportunity to reach her/his potential.