Job Purpose
Join ICE's Global Quantitative Research team to lead the design and implementation of advanced quantitative models for pricing, volatility surfaces, and risk management.
Utilize your strong background in stochastic calculus and probability theory to develop robust models and translate them into efficient, production-grade C++ code integrated into our core quantitative library.
Collaborate across business lines, including Clearing, Exchange, and Data Services, while mentoring team members and fostering innovation.
Responsibilities
1. Quantitative Research: Lead research efforts in advanced pricing, volatility, and risk models.
2. Model Implementation: Convert sophisticated mathematical models into reliable, production-level code, primarily in C++.
3. Collaboration: Work with multiple business lines to ensure models meet research and operational needs.
Knowledge and Experience
* Master's or PhD in Computer Science, Mathematics, Statistics, or related fields.
* Expertise in advanced mathematics such as stochastic calculus and probability theory.
* Exceptional quantitative and analytical skills.
* Extensive experience with C++ and Python.
* Strong verbal and written communication skills in English.
Preferred
* Experience in options pricing theory.
* Experience in Data Analytics and Machine Learning.
* Minimum of 3 years of related industry experience.
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