Senior Quantitative Finance Analyst - Bank of America (Atlanta, GA)

Bank of America is looking for a Theorist for their Quantitative Finance group, a unit within the Corporate Investments Division. Bank of America’s Quantitative Finance group is a collection of mathematicians, engineers, statisticians, economists, traders and programmers that apply quantitative techniques to various valuation and risk management problems.

Quantitative Finance designs and implements a suite of complex valuation tools and models. These models drive the valuation of the mortgage servicing, mortgage-backed securities and whole loan portfolios. In addition, Quantitative Finance provides analytics for a wide range of processes, including; trading decisions, primary mortgage pricing and rate setting, business strategy and ad hoc financial decisions at the highest level of the Bank.

This position will report to a Senior Theorist and will be responsible for assisting in the design and improvement of the group's models.

REQUIRED SKILLS:

• PhD with a quantitative focus (e.g. Corporate Finance, Econometrics, or Math).
• Computational finance (and/or) Applied Economic (preferably macro theory in monetary policy).
• Strong C++ skills for developing prototype using our library.
• This position would be located in Atlanta, GA.

• Swaps, swaptions, caps/floors.
• Cash flows.
• Valuation models (Black-Scholes, Monte Carlo pricing).

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