Linear Rates Quant Developer

Job Opportunity: Linear Rates Quant Developer

We have a current opportunity for a Linear Rates Quant Developer on a permanent basis. The position will be based in London. For further information about this position, please apply.

Key Responsibilities:

1. Contribute to the buildout of a new e-trading platform, leading the implementation of pricing and curve construction analytics in C++20.
2. Develop market-making models in collaboration with traders.
3. Specify and design tooling and diagnostics for live solvers, RFQ pricing, and risk management.
4. Partner with the Head of FICC E-Trading Engineering on architecture design for low-latency systems, leveraging fast optimizers and algorithmic automatic differentiation (AAD).
5. Develop and maintain yield curve modelling frameworks for pricing and risk management of linear interest rate products, including swaps, bonds, futures, and cross-currency swaps.
6. Engage in strategic discussions with senior management to enhance hiring, reduce operational risk, and support the global fixed income e-trading business.
7. Lead desk projects in collaboration with North American teams.
8. Revamp existing Excel-based legacy tools into web-based applications to improve efficiency and scalability.
9. Work with IT, application support, and InfoSec teams to optimize latency and computational performance.
10. Participate in the implementation of a new exotic rates pricing library, including project planning and stakeholder engagement.
11. Implement local volatility multi-factors short rate models using parallel Monte Carlo simulation and pathwise differentiation (AAD).
12. Deploy GM pricing tools across web applications, Excel, and Murex, promoting Python for prototyping.
13. Participate in cross-functional meetings, providing insights on leveraging AI technologies.
14. Lead initiatives utilizing AI-powered coding assistants and apply Tensor Neural Networks for pricing complex derivatives like Bermudan Swaptions.

To find out more about SThree, please visit .

SThree Partnership LLP is acting as an Employment Business in relation to this vacancy. Registered office: 8 Bishopsgate, London, EC2N 4BQ, United Kingdom. Partnership Number: OC387148 England and Wales.

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