Associate, Treasury Quant - #294
Capstoneinvestmentadvisors · New York, New York
About this role
**Associate, Treasury Quant — #294** **Company Overview** Capstone Investment Advisors is a global alternative investment management firm operating across derivatives-based strategies with a deep understanding of volatility. With approximately $14.6B AUM and 315 employees, Capstone is headquartered in New York with offices in London, Amsterdam, Tokyo, California, Stamford, Boston, and Milan. **Responsibilities & Impact** Capstone seeks an **Associate, Treasury Quant** in **New York, NY** to develop internal analytics and reports to monitor **counterparty metrics**, **funding markets**, and **Treasury Profit & Loss (P&L)**. Key responsibilities include: - Build, structure, and deploy **production-level computational financial models** for a financial institution, including **mark-to-market valuation models**, **volatility surface models**, and **data pipelines** using **SQL** and **Python**. - Apply **object-oriented programming**, **modular software design** (e.g., GitHub version control), and **automated testing frameworks** to process and transform large-scale datasets. - Systematically value derivatives portfolios using theoretical foundations and implemented **pricing methodologies** for **European, American, and exotic options**, producing validated analytical outputs. - Formulate and solve **cost-minimization problems** within derivatives portfolios under market, operational, and contractual constraints using **mathematical optimization** (e.g., **linear programming** and **least-squares optimization**). - Design **calibration workflows** to reconcile internal valuations with **market-observable** and **broker prices**, identify discrepancies, and produce **validated, auditable pricing inputs**. - Source and process derivatives market data from external pricing services and providers (e.g., **Bloomberg** and **S&P Global**) to calibrate internal price marks. - Analyze derivatives market structure, conventions, and pricing dynamics, including instrument mechanics, settlement conventions, and how supply/demand and market conditions drive valuations. **Work Location** Telecommuting and/or working from home may be permissible pursuant to company policies. **Benefits & Compensation** - Training and development opportunities - Robust wellness resources (physical, mental, and financial) - Time-off, retirement, and commuter benefits - Gym reimbursement and other discounts **Base Salary Range:** **$170,000–$180,000** (determined based on experience, skills, training, location, certifications, education, and applicable minimum wage requirements). Performance-based incentives may also apply. **How to Learn More** - Careers: https://www.capstoneco.com/careers/ - LinkedIn: https://www.linkedin.com/company/capstone-investment-advisors/posts/?feedView=all **Capstone’s Commitment** Capstone values a **diverse, equitable, and inclusive** workplace and is an **Equal Opportunity Employer**. They encourage innovation, collaboration, trust, and discipline.
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