Senior Quantitative Analyst - Rates

At U.S. Bank, we’re on a journey to do our best. Helping the customers and businesses we serve to make better and smarter financial decisions, enabling the communities we support to grow and succeed in the right ways, all more confidently and more often—that’s what we call the courage to thrive.   We believe it takes all of us to bring our shared ambition to life, and each person is unique in their potential. A career with U.S. Bank gives you a wide, ever-growing range of opportunities to discover what makes you thrive. Try new things, learn new skills and discover what you excel at—all from Day One.

As a wholly owned subsidiary of U.S. Bank, Elavon is committed to building the platforms and ecosystems that help over 1.5 million customers around the world to achieve their financial goals—no matter what they need. From transaction processing to customer service, to driving innovation and launching new products, we’re building a range of tailored payment solutions powered by the latest technology. As part of our team, you can explore what motivates and energizes your career goals: partnering with our customers, our communities, and each other.

We actively uphold transparent and fair hiring practices that support individual opportunity, inclusive culture, and career mobility across all levels of our organisation.

We offer meaningful opportunities for growth, a culture of inclusion, and a strong commitment to transparency and integrity in everything we do.

Job Description

The Lead Rates Derivatives Quantitative Specialist is a senior front-office quantitative leader responsible for the design, development, and ongoing support of pricing, risk, and analytics models for Rates and FX derivatives businesses, with a primary focus on options and volatility-driven products.

The role serves as a desk-aligned quantitative partner to trading, owning advanced interest rate derivatives modeling frameworks—including stochastic volatility, multi-factor term structure models, and options pricing architectures—while ensuring seamless integration into enterprise real-time risk and P&L platforms.

This position partners closely with Trading, Risk Management, Technology, and Model Governance teams to deliver analytically rigorous, scalable, and regulator-ready models that support intraday trading, dynamic risk management, and strategic growth across the FICC platform.

Role Requirements

Provide senior quantitative leadership supporting intraday trading activity across Rates and FX desks, with emphasis on volatility modeling, options pricing, and model stability under stressed market conditions.

Design, develop, and maintain pricing and risk models for interest rate and FX derivatives, with particular focus on options products (e.g., swaptions, caps/floors, structured optionality), ensuring analytical accuracy, scalability, and performance in production environments.

Lead the development and enhancement of volatility modeling frameworks, including construction and calibration of volatility surfaces and dynamic evolution models across USD and global rates markets.

Design, implement, and maintain advanced stochastic volatility models, including SABR and its extensions, ensuring consistent calibration, arbitrage-free interpolation, and robustness across strikes and maturities.

Develop and support multi-factor interest rate options models, including Cheyette-class Gaussian models and other advanced term structure frameworks used for pricing, hedging, and risk decomposition of complex derivatives.

Own model calibration methodologies, including efficient numerical schemes, Monte Carlo simulation, and adjoint/algorithmic differentiation techniques for accurate and scalable risk sensitivities.

Drive the evolution of pricing and risk frameworks for exotics and structured products, including callable structures and path-dependent instruments, ensuring consistency with core modeling architecture.

Partner with Model Risk Management and Risk Oversight teams throughout the model lifecycle.

Support internal and external regulatory examinations by providing clear model documentation and performance evidence.

Collaborate with Technology teams to integrate quantitative models into front-office pricing and real-time risk platforms.

Provide technical leadership and mentorship to quantitative team members.

Experience Required

Advanced degree (Ph.D. preferred) in Mathematics, Physics, Engineering, or a related quantitative discipline, or equivalent experience.

Extensive experience developing front-office quantitative models within interest rate and FX derivatives businesses, with deep expertise in options modeling and volatility dynamics.

Strong knowledge of stochastic calculus, term structure modeling, and advanced volatility modeling techniques, including SABR, LMM, and Cheyette frameworks.

Strong programming skills (C++, Java, or similar) across full model lifecycle.