About This Role
Wells Fargo is looking for an exceptional Associate Quant to join our Front Office Interest Rates / Macro team. This is a unique opportunity to work at the intersection of cutting‑edge quantitative research, model development, and front‑office trading support.
In this role, you’ll help design and implement advanced models used for risk management, pricing, and trading across a range of interest rate products — from linear and non‑linear rates to structured products and IR/FX hybrids. You’ll work with sophisticated modelling frameworks including SABR, Cheyette, and Quadratic Gaussian models, with a strong focus on term‑structure and volatility modeling.
You’ll also play a key part in a strategic initiative to build next‑generation, cross‑asset models integrated into a unified quantitative risk and trading platform. Expect close collaboration with traders, technology partners, and fellow quants across the organization.
If you're passionate about quantitative finance, solving complex modeling challenges, and want to work in a dynamic front‑office environment we want to hear from you.
In This Role You Will
Design, develop, and implement quantitative models for linear and nonlinear interest‑rate products, structured rates and hybrids for desk pricing and risk management.
Build and enhance pricing and risk analytics, including curve construction and volatility cube calibration for trading and risk‑management applications.
Improvements of quant library build and regression test infrastructure (Python). Migrate Excel tools to Python.
Implement, test and support changes to curves for Macro flow business.
Deliver arbitrage free SABR with wing extension for risk management of swaptions and CMS.
Develop and calibrate stochastic term structure models like single and multifactor Cheyette or Quadratic Gaussian in a multi-curve framework.
Transition to new optimization-based curve engine.
Deliver high-quality models and code, model documentation and testing.
Production integration of models for daily PL, Risk, PL explains and into spreadsheet tools.
Provide model support to the trading desk, including troubleshooting and enhancements.
Partner effectively with Business Stakeholders, Sales & Trading, Technology, Model Validation and Project Management teams.
Required Qualifications
Experience in quantitative analytics for interest rate / macro products or equivalent.
Experience in Securities Quantitative Analytics, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education.
Desired Qualifications
Strong hands-on coding experience in C++ and Python. Experience with Java is a plus.
Deep understanding of derivative products and markets, particularly in interest rates or FX.
Experience with modeling, calibration, risk management and pricing of linear and structured rates products: swaps, rates and bond futures, swaptions including non standard (zero coupon, accreters), cap/floor, Bermudan callables, CMS, CMS spread, range accrual, cross currency swaps, inflation and hybrids.
Expertise in term structure modeling, stochastic funding and volatility modeling, including SABR, Cheyette, Quadratic Gaussian, and related frameworks (LGM, BGM, HW model) for single and cross currency.
Experience with optimization‑based curve engine or designing hedge curve risk templates. Familiarity with instrument and index market conventions across developed or emerging markets.
Proven experience working with Sales and Trading as a front office quant.
Excellent verbal, written, and interpersonal communication skills.
Master's or PhD in Mathematics, Physics, Engineering, Computational or Quantitative Finance or a related technical field.
