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About the Role
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).
Responsibilities
- Develop internal analytics and reports to monitor counterparty metrics, funding markets, and Treasury Profit and Loss (Pnl).
- Build, structure, and deploy production-level computational financial models.
- Utilize object-oriented programming, modular software design including GitHub version control, and automated testing frameworks to process and transform large-scale datasets.
- Systematically value derivatives portfolios utilizing theoretical foundations and applied implementation of pricing methodologies for derivatives including European, American, and exotic options to generate validated analytical outputs.
- Formulate and solve cost-minimization problems within derivatives portfolios subject to market, operational, and contractual constraints using mathematical optimization techniques.
- Design calibration workflows that systematically reconcile internal valuations with market-observable and broker prices, identifying discrepancies, and producing validated, auditable pricing inputs.
- Source and process derivatives market data from external pricing services and market data providers to calibrate internal price marks.
- Analyze structure, conventions, and pricing dynamics of derivatives markets including instrument mechanics, settlement conventions, and how supply-demand factors and market conditions drive derivatives valuations.
Requirements
- Master’s degree or foreign equivalent in Mathematics or a related quantitative field.
- 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.
- Experience utilizing object-oriented programming, modular software design including GitHub version control, and automated testing frameworks to process and transform large-scale datasets.
- Experience 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.
- Experience 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.
- Experience designing calibration workflows that systematically reconcile internal valuations with market-observable and broker prices, identifying discrepancies, and producing validated, auditable pricing inputs.
- Experience 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.
- Experience 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.
Skills
- SQL
- Python
- Object-oriented programming
- Modular software design
- GitHub version control
- Automated testing frameworks
- Mathematical optimization techniques
- Linear programming
- Least-squares optimization
- Bloomberg
- S&P Global
Location
- New York, NY
Work Type
- Telecommuting
- Working from home
Experience Level
- Associate
Education Level
- Master’s degree or foreign equivalent in Mathematics or a related quantitative field
Salary/Compensations
- $170,000-$180,000
Benefits
- Training and development opportunities
- Robust Wellness Resources: Physical, Mental and Financial
- Time-Off, Retirement and Commuter Benefits
- Gym Reimbursement and other Discounts
- Annual incentive plan
About the Company
- Capstone is a global, alternative investment management firm operating across a broad range of derivatives-based strategies with a deep understanding of volatility.
- With approximately $14.6 billion of AUM and 315 employees (as of September 1, 2026, Capstone was formed in 2007 and is headquartered in New York with offices in London, Amsterdam, Tokyo, California, Stamford, Boston, and Milan.
- At Capstone, we constantly aim to expand our view of how WE SEE THE WORLD DIFFERENTLY® in order to create opportunity.
- Our commitment to provoking the evolution of asset management provides us with a perpetual hunger for knowledge that we believe drives the improvement of our particular approach to investment.
- We seek to harness the complexities of global derivatives markets with disciplined strategic insight, an experienced, accomplished team and advanced technology to create sustainable value.
- We’ve created a particular approach to investment that we believe drives continuous improvement and opportunities for our clients, team and industry.
- Our team is our most important asset and investment.
- We value and respect our colleagues and their well-being inside and outside the workplace and our culture reflects this.
- We offer a robust and competitive benefits program to ensure the well-being of our colleagues.
- At Capstone, we value a diverse, equitable, and inclusive workplace where all employees feel appreciated and respected.
- We value innovation, teamwork, trust, and discipline.
- Experimentation: We love fresh ideas and encourage you to try new things. Here, you’ll have the freedom to innovate and help shape our strategies.
- Collaboration: We’re big on teamwork. You'll join a supportive community where everyone’s input matters, and we learn from each other every day.
- Trust: We believe in building strong, honest relationships. You'll be part of an environment where your contributions are respected and integrity is key.
- Discipline: In our fast-paced world, staying focused is crucial. We commit to high standards and a disciplined approach, helping you grow both personally and professionally.
- Be part of a team that values your creativity and dedication. Together, let's push boundaries and achieve great things.
Equal Opportunity
- Capstone is committed to creating an inclusive environment where we welcome people of different backgrounds.
- Capstone considers applications for employment without regard to all applicable protected characteristics, including race, color, religion, ethnicity, national origin, gender, sexual orientation, gender identity or expression, age, parental status, veteran status, or disability status.