UBS Securities LLC is seeking an Associate Director, Quantitative Analyst in New York, NY
Are you an innovative thinker? Do you enjoy delivering enhanced change capabilities across a range of business functions? Are you passionate about IT process automation using cutting edge tooling platforms?
Were looking for an Associate Director, Quantitative Analyst to:
• Develop and maintain the extension of the functionality within analytics libraries used for valuation and risk management of UBS interest rate, credit, and hybrid derivatives business for business and regulatory requirements. Triage with the trading, IT, and control functions to provide support on modeling and quantitative matters.
• Provide analytical and quantitative support for trading desks that deal with several types of products including all linear interest rate products such as Swaps, Futures, and Government Securities; all Interest Rate Option products including Swaptions, Caps & Floors, exchange traded options; all Structured Rates products including Bermudan Options, Callable Notes, Range Accruals, and Leveraged Steepeners among others; and Structured Hybrid products including the underlying Interest Rate/FX/Equity indices.
• Code mathematical models in our C++ libraries and on tools using Python, Excel/VBA. Contribute to regulatory and model governance requirements by writing model documentation with technical/mathematical descriptions using LaTex and detailed tests using Python within our documentation framework.
• Provide support and input to the trading desk in usage of our stochastic-volatility Model, the SABR model, and related risk functionality including interest rate volatility risk, skew/smile, and interest rate risk measures. Support the interest rate options trading desks end of day model publishing and calibration processes. Tasked with investigations of day-to-day risk-based P&L attribution and explanation of any unexplained P&L and for generating solutions and improvements.
• Work in Python to provide the trading desk with various visualization and relative value tools to aid them with the pricing and marking of models. Be involved with the migration of our books to a strategic trading and risk management platform. Implement new pricing methodologies and modeling enhancements to the stochastic volatility model and SABR model in our C++ libraries to support Options and Structured Rates businesses.
• Can work hybrid (In-office/remote).
Qualified Applicants apply through .... Please reference 002879. NO CALLS PLEASE. EOE/M/F/D/V
Salary Range & Work Schedule: $160,000 to $225,000/year, 40 hrs/wk. This notice is being posted in connection with an application for permanent Alien Labor Certification. Any person may comment or provide documentary evidence bearing on this application to: U.S. Department of Labor, Employment and Training Administration, Office of Foreign Labor Certification, 200 Constitution Avenue NW, Room N-5311, Washington, DC 20210.
The expected salary range(s) for this role as of the date of this posting is/are based on factors including, but not limited to, experience, qualifications, education, location and skill level. This role may also be eligible for discretionary incentive compensation. For benefits information, please visit ubs.com/usbenefits.
Your expertise:
Education & Experience Requirement:
• Masters degree or foreign equivalent in Finance, Mathematics, or a related field of study.
• Alternate Education & Experience Requirement
• Bachelors degree or foreign equivalent in Finance, Mathematics, or a related field of study and 2 years of experience in the job offered or 2 years of experience as a Quantitative Strategist, or a related occupation in lieu of Masters degree.
Position requires knowledge with the following:
• Standard financial products; Mathematical modelling of financial markets; numerical methods (for both PDEs and Monte Carlo); stochastic models in use in Fixed Income Solutions, such as the SABR model and other term-structure models; C ++ software, including functional programming(e.g. F#) and object-oriented techniques development; Python; Excel/VBA; LaTex; Mathematical skillset: statistics / linear algebra / probabilities / PDE / ODE; time-series analysis and machine learning; option pricing theory; risk analysis of trades and existing portfolios; exposure to algorithms and optimization.
Are you an innovative thinker? Do you enjoy delivering enhanced change capabilities across a range of business functions? Are you passionate about IT process automation using cutting edge tooling platforms?
Were looking for an Associate Director, Quantitative Analyst to:
• Develop and maintain the extension of the functionality within analytics libraries used for valuation and risk management of UBS interest rate, credit, and hybrid derivatives business for business and regulatory requirements. Triage with the trading, IT, and control functions to provide support on modeling and quantitative matters.
• Provide analytical and quantitative support for trading desks that deal with several types of products including all linear interest rate products such as Swaps, Futures, and Government Securities; all Interest Rate Option products including Swaptions, Caps & Floors, exchange traded options; all Structured Rates products including Bermudan Options, Callable Notes, Range Accruals, and Leveraged Steepeners among others; and Structured Hybrid products including the underlying Interest Rate/FX/Equity indices.
• Code mathematical models in our C++ libraries and on tools using Python, Excel/VBA. Contribute to regulatory and model governance requirements by writing model documentation with technical/mathematical descriptions using LaTex and detailed tests using Python within our documentation framework.
• Provide support and input to the trading desk in usage of our stochastic-volatility Model, the SABR model, and related risk functionality including interest rate volatility risk, skew/smile, and interest rate risk measures. Support the interest rate options trading desks end of day model publishing and calibration processes. Tasked with investigations of day-to-day risk-based P&L attribution and explanation of any unexplained P&L and for generating solutions and improvements.
• Work in Python to provide the trading desk with various visualization and relative value tools to aid them with the pricing and marking of models. Be involved with the migration of our books to a strategic trading and risk management platform. Implement new pricing methodologies and modeling enhancements to the stochastic volatility model and SABR model in our C++ libraries to support Options and Structured Rates businesses.
• Can work hybrid (In-office/remote).
Qualified Applicants apply through .... Please reference 002879. NO CALLS PLEASE. EOE/M/F/D/V
Salary Range & Work Schedule: $160,000 to $225,000/year, 40 hrs/wk. This notice is being posted in connection with an application for permanent Alien Labor Certification. Any person may comment or provide documentary evidence bearing on this application to: U.S. Department of Labor, Employment and Training Administration, Office of Foreign Labor Certification, 200 Constitution Avenue NW, Room N-5311, Washington, DC 20210.
The expected salary range(s) for this role as of the date of this posting is/are based on factors including, but not limited to, experience, qualifications, education, location and skill level. This role may also be eligible for discretionary incentive compensation. For benefits information, please visit ubs.com/usbenefits.
Your expertise:
Education & Experience Requirement:
• Masters degree or foreign equivalent in Finance, Mathematics, or a related field of study.
• Alternate Education & Experience Requirement
• Bachelors degree or foreign equivalent in Finance, Mathematics, or a related field of study and 2 years of experience in the job offered or 2 years of experience as a Quantitative Strategist, or a related occupation in lieu of Masters degree.
Position requires knowledge with the following:
• Standard financial products; Mathematical modelling of financial markets; numerical methods (for both PDEs and Monte Carlo); stochastic models in use in Fixed Income Solutions, such as the SABR model and other term-structure models; C ++ software, including functional programming(e.g. F#) and object-oriented techniques development; Python; Excel/VBA; LaTex; Mathematical skillset: statistics / linear algebra / probabilities / PDE / ODE; time-series analysis and machine learning; option pricing theory; risk analysis of trades and existing portfolios; exposure to algorithms and optimization.
Job ID: 522434490
Originally Posted on: 5/26/2026
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