Hi Alberto,
Is there a particular country that you are looking to move to professionally? or are you thinking about pursuing further education (Master perhaps)?
A disclaimer, I work within the LATAM space (in US) but not specifically in quant finance. Since I am in the US, my understanding is more of an 'offshore market' perspective. But will share what I know. Hopefully others will chime in as well.
For MNC and foreign enterprises dealing with or operating within this region, there is a real need to manage the risk associated with this exposure, FX/IR. For Brazilian exposures, they can do so through local market instruments (swap cambial) or through off-shore exchange-traded (CME) instruments in the US. In Mexico, there is an active TIIE 28 local benchmarket IR derivatives market. For bespoke exposure and/or balance & accou, they can go to the EM or corporate desks of investment banks operating out of NYC. This could be some of the most interesting derivatives work you can do.
If you want to remain local to work with say the Asset management, pension funds, insurance companies, there are quant work opportunities in investment, hedging and enterprise ALM groups within this type of companies. Note that most of the local bond markets are created to serve the long-dated duration needs of these firms. This is from my knowledge of this type of companies in US and I would imagine similar type of work would exist in LATAM. I don't think there a great of need for quant work in the local Latam equity market, as the volume and liquidity just aren't there to support the various quant trading strategies.
Good luck!