Job Description
Contract Equity Derivatives Quant Developer - C++/Python - £1000pd
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 regulatatory 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 (For the Job ? not the Job holder. Minimum requirements of the Job)
* 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