At a Glance
- Tasks: Design and implement cutting-edge pricing models for exotic derivatives.
- Company: Leading financial firm in London with a focus on innovation.
- Benefits: Competitive daily rate, hybrid work model, and impactful projects.
- Other info: Opportunity to work in a dynamic environment with top-tier professionals.
- Why this job: Join a high-impact role and shape the future of trading systems.
- Qualifications: 15+ years in quantitative engineering with strong model development skills.
The predicted salary is between 60000 - 80000 £ per year.
Location: London, UK (Hybrid/On-site)
Engagement: Contract (Inside IR35)
Duration: 12 months
Rate: £750-£800 per day (via an umbrella company)
About the Role
We are seeking a Distinguished Quantitative Engineer for a high-impact, senior individual-contributor contract role based in London. This is a position for a seasoned professional with 15+ years of demonstrable experience independently designing, implementing, and delivering production-grade pricing and risk models for complex exotic derivatives across Equity, Rates, FX, and Commodities. We require deep, hands-on ownership. You will be responsible for everything from mathematical formulation and numerical implementation to performance optimisation and direct contribution to live analytics and trading systems.
What You Will Do
- End-to-End Model Ownership: Independently design, implement, and validate pricing and risk models for complex and exotic OTC derivatives (from math formulation to production rollout).
- Core Library Evolution: Build and evolve core analytics libraries used for valuation, sensitivities, scenarios, and XVA.
- Advanced Numerical Implementation: Implement advanced numerical techniques including Monte Carlo methods (with variance reduction), Tree/lattice methods, PDE approaches, and curve construction (bootstrapping/interpolation).
