Associate, Treasury Quant - #294

Capstone Investment Advisors•New York, NY

2d•$170,000 - $180,000•Remote

About The Position

Capstone Investment Advisors, LLC seeks an Associate, Treasury Quant in New York, NY to develop internal analytics and reports to monitor counterparty metrics, funding markets, and Treasury Profit and Loss (Pnl). This role involves building, structuring, and deploying production-level computational financial models, including mark-to-market valuation models, volatility surface models, and data pipelines with SQL and Python. The position requires utilizing object-oriented programming, modular software design with GitHub version control, and automated testing frameworks for large-scale datasets. Responsibilities include systematically valuing derivatives portfolios using theoretical foundations and applied implementation of pricing methodologies for various options, formulating and solving cost-minimization problems within derivatives portfolios using mathematical optimization techniques, designing calibration workflows to reconcile internal valuations with market prices, and sourcing/processing derivatives market data from external providers. The role also involves analyzing the structure, conventions, and pricing dynamics of derivatives markets.

Requirements

Master’s degree or foreign equivalent in Mathematics or a related quantitative field
Two (2) years of experience building, structuring, and deploying production-level computational financial models on behalf of a financial institution
Experience with mark-to-market valuation models, volatility surface models, and data pipelines with SQL and Python
Experience utilizing object-oriented programming, modular software design including GitHub version control, and automated testing frameworks to process and transform large-scale datasets
Experience systematically valuing derivatives portfolios utilizing theoretical foundations and applied implementation of pricing methodologies for derivatives including European, American, and exotic options to generate validated analytical outputs
Experience formulating and solving cost-minimization problems within derivatives portfolios subject to market, operational, and contractual constraints using mathematical optimization techniques including linear programming and least-squares optimization
Experience designing calibration workflows that systematically reconcile internal valuations with market-observable and broker prices, identifying discrepancies, and producing validated, auditable pricing inputs
Experience sourcing and processing derivatives market data from external pricing services and market data providers to calibrate internal price marks including Bloomberg and S&P Global
Experience analyzing structure, conventions, and pricing dynamics of derivatives markets including instrument mechanics, settlement conventions, and how supply-demand factors and market conditions drive derivatives valuations

Responsibilities

Develop internal analytics and reports to monitor counterparty metrics, funding markets, and Treasury Profit and Loss (Pnl).
Build, structure, and deploy production-level computational financial models.
Utilize object-oriented programming, modular software design including GitHub version control, and automated testing frameworks to process and transform large-scale datasets.
Systematically value derivatives portfolios utilizing theoretical foundations and applied implementation of pricing methodologies for derivatives including European, American, and exotic options to generate validated analytical outputs.
Formulate and solve cost-minimization problems within derivatives portfolios subject to market, operational, and contractual constraints using mathematical optimization techniques including linear programming and least-squares optimization.
Design calibration workflows that systematically reconcile internal valuations with market-observable and broker prices, identifying discrepancies, and producing validated, auditable pricing inputs.
Source and process derivatives market data from external pricing services and market data providers to calibrate internal price marks including Bloomberg and S&P Global.
Analyze structure, conventions, and pricing dynamics of derivatives markets including instrument mechanics, settlement conventions, and how supply-demand factors and market conditions drive derivatives valuations.