Associate, Treasury Quant

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). Requires a Masters degree or foreign equivalent in Mathematics or a related quantitative field and two (2) years of experience building, structuring, and deploying production-level computational financial models on behalf of a financial institution, including mark-to-market valuation models, volatility surface models, and data pipelines with SQL and Python; utilizing object-oriented programming, modular software design including GitHub version control, and automated testing frameworks to process and transform large-scale datasets; 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; 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; designing calibration workflows that systematically reconcile internal valuations with market-observable and broker prices, identifying discrepancies, and producing validated, auditable pricing inputs; 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; and 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. Telecommuting and/or working from home may be permissible pursuant to company policies. Salary Range: $170,000.00 - $180,000.00/year. Apply at https://job-boards.greenhouse.io/capstone-web/jobs/8817743002.