Quantitative Developer

Contract Equity Derivatives Quant Developer – C++/Python

One of our Global Investment Banking clients is looking for several Equity Derivatives Quant Developers skilled in either C++ or Python.

The candidate will be expected to:

• Assist the design and implementation of pricing, risk and P&L infrastructure surrounding the core pricing library
• Assist the Quantitative Modellers to develop the core pricing library
• Develop the Quantitative tooling required to support the platform

The role will cover the following agendas:

• Delivery of the calculation infrastructure required for FRTB IMA regulatory reporting
• Design and development of end-of-day risk and P&L calculations allowing the retirement of the legacy vendor platform
• Design and development of intraday risk and P&L calculations
• Design and development of market data marking pipelines

The candidate should expect to have day-to-day interactions with the trading desk, other quants, the Risk and Finance departments, and technology teams.

Essential Certifications, Qualifications and Experience

• 3-7 years working as a Quantitative Analyst/Developer developing models in quantitative finance, IT development, or a trading environment
• A degree in mathematical finance, science or maths from a top tier university
• Knowledge of the standard pricing models used in the investment banking industry
• Two or more years C++ experience (preferably using Visual Studio 2017)
• Two or more years Python experience required

Desirable Knowledge, Skills & Experience

• Background in stochastic processes, probability and numerical analysis. Physics, Engineering or similar subjects is desirable, but not strictly required.
• Experience of data analysis
• Knowledge of the main instruments used in Equities and Equity Derivatives
• Knowledge of instrument pricing, sensitivity calculations, P&L prediction, P&L explain, VaR, ES and other risk measures.

Knowledge of distributed computing and serialisation techniques would be desired:

• Good knowledge of Excel.
• Exposure to Google Protobuf
• Previously experience with CI/CD pipelines
• Ability to work in fast-paced environment with proven ability to handle multiple outputs at one time