VP - Quantitative Analyst
At a glance
VP-level Data Science role at Huatai. Hong Kong · full-time.
Pay not stated Data Science salary
dataroles summary, based on the employer's posting.
What you'll do
- Build, calibrate, and improve pricing models for rates, foreign exchange, and commodity derivatives
- Create cross-asset models linking products such as inflation swaps with foreign exchange or interest rates
- Develop tail-risk scenarios, XVA calculations, real-time Greeks, and trader-facing P&L explanations
- Speed up quantitative models with CUDA or parallel computing, then connect them to Python, C++, and Excel tools
- Automate yield-curve construction and volatility-surface calibration for pricing and risk workflows
What you bring
- An MSc or PhD in quantitative finance, mathematics, physics, or engineering
- At least five years in a sell-side quantitative role covering rates, FX, or commodities
- Expert Python ability with NumPy and pandas, plus modern C++ programming skills
- Strong command of SDEs, PDEs, Monte Carlo, and Fourier-based methods
- Hands-on derivatives experience across listed rates, FX, and commodity products named in the role
Who this fits
This role suits a senior sell-side quant who can work across pricing, risk, trading support, and model infrastructure. You should be comfortable with rates, FX, or commodities and with direct implementation in Python and C++. The position is based in Hong Kong.
From the employer
About Us:
Huatai International Financial Holdings Company Limited (“Huatai International” or “the Company”), is the only overseas wholly-owned or controlled subsidiary of Huatai Securities. Huatai International is the Huatai Group’s international arm which plays as a crucial role in the group's internationalization strategy by:
a) not only providing offshore capital market services (and a global business platform) but also provides onshore clients with valuable cross-border capital market services (aligned with the mainland China government’s policies and commercial intentions);
b) actively making use of Huatai Securities’ leading position, distribution network and customer base in mainland China;
c) integrating on a global basis across many jurisdictions and regions, a successful and fully integrated international financial platform with innovative financial services solutions.
Huatai International operates as a holding company for consolidating all of the group’s cross-border businesses and companies under one umbrella, offering a truly unified and international business platform. In recognition of such international strength, the renowned international rating agency Standard and Poor’s has assigned Huatai International a “BBB+” rating (for long term) and “A-2” (for short-term).
We are seeking a highly skilled Quantitative Analyst to join our sell-side quant team, specializing in Rates, FX, and Commodities. You will be responsible for developing and maintaining pricing models, risk analytics, and trading tools for structured derivatives and flow products. This role sits at the intersection of trading, structuring, and risk management, requiring strong mathematical foundations, programming expertise, and commercial awareness.
Key Responsibilities:
Pricing & Model Development
Design, implement, and calibrate pricing models for Rates (swaptions, inflation, exotics), FX (barriers, accumulators), and Commodities (oil, gas, power derivatives).
Enhance existing models for stochastic rates (e.g., Hull-White, LMM), FX local/stochastic vol (e.g., Heston, SABR), and commodity curve dynamics (mean-reverting jumps, seasonal adjustments).
Develop hybrid models for cross-asset products (e.g., FX-linked inflation swaps, commodity-IR hybrids).
Risk Analytics & Trading Support
Implement scenario analysis tools for tail risks (e.g., yield curve inversions, commodity squeezes).
Compute and optimize XVA adjustments (CVA, FVA, MVA) for derivative portfolios.
Build real-time Greeks calculators and P&L explain tools for traders.
Infrastructure & Automation
Optimize model performance via GPU acceleration (CUDA) or parallel computing.
Integrate models into the bank’s pricing/risk stack (Python/C++ libraries, Excel interfaces).
Automate curve construction and volatility surface calibration.
Requirements:
Education
MSc/PhD in Quantitative Finance, Math, Physics, or Engineering.
Experience
5+ years in a sell-side quant role with direct exposure to Rates, FX, or Commodities.
Technical Skills
Programming: Expert-level Python (NumPy, pandas) and C++ (modern standards).
Modeling: Deep knowledge of SDEs, PDEs, Monte Carlo, and Fourier methods.
Products : Hands-on experience with:
Rates: Caps, Swaptions, Bermudans, yield curve derivatives.
FX: TARF, PRDC.
Commodities: Mid-Curve Options, Swing Options, Seasonality Models
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