Executive Director, Front Office Rates Quant

Wells Fargo is seeking a Vice President Front Office Interest Rates Quant Developer to join the Corporate & Investment Banking (CIB) organisation. The successful candidate will join a team focused on developing and implementing advanced quantitative models and tools for risk managing, trading and pricing of interest rate products. This includes work on linear and non-linear rates products, structured rates and hybrids with a strong emphasis on term structure and volatility model frameworks such as SABR, single and multifactor Cheyette or Quadratic Gaussian.
The successful candidate will contribute to a strategic initiative aimed at building next-generation models for integration into a holistic, cross-asset quantitative risk and trading platform. The role involves close collaboration with traders, technology partners, and cross-asset quantitative teams.
Key Responsibilities:

• Improve the quant library C++ code. Implement object serialization.
• Enhance library testing framework (Python). Automate ongoing model monitoring.
• Support Jenkins build for macro quant team.
• Implement new PDE pricer with automatic differentiation.
• 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.
• 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.

Desired Qualifications:

• Strong hands-on coding experience in C++ and Python. Experience with Java is a plus.
• Experience with quant library testing and Jenkins.
• Understanding of derivative products and markets, particularly in interest rates: 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.
• Experience with volatility and term structure models including SABR, Cheyette, Quadratic Gaussian, and related frameworks (LGM, BGM, HW model) for single and cross currency.
• Experience with optimization-based curve engine or using 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.

Posting End Date:
16 Apr 2026
*Job posting may come down early due to volume of applicants.
We Value Equal Opportunity
Wells Fargo is an equal opportunity employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other legally protected characteristic.
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