Quantitative Developer - Pricing Models (C++)
- £100,000 - £120,000
- London, England, United Kingdom
- Permanent, Full time
- Charles Levick
- 28 Sep 16
My client, a Tier 1 Investment Bank is looking to recruit a Quantitative Developer to join the Quantitative Analytics group. The position requires an expert in C++ to take counterparty risk and pricing models from inception (analysis phase) to production (C++ QA libraries and IT integration) by following the model life cycle and by liaising with our key stakeholders in Risk, the Front Office and IT.
The Quantitative Analytics group is responsible for the research, development and implementation of market leading quantitative models across all asset classes and areas (Interest Rates, Inflation, Credit, Equity, Foreign Exchange, Commodities, Emerging Markets, Market Risk, Counterparty Credit Risk, Banking Book, Asset and Liability Management and Financial Modelling).
• Develop and maintain quantitative models and solutions to optimize pricing and risk management of financial products across various asset classes, including Interest Rates, Credit, Equity, Foreign Exchange, Commodities, Emerging Markets and Counterparty Risk Trading.
• Implement, optimize and maintain analytics models and frameworks (simulation and calibration) within QA C++ libraries.
• Perform computations and assess numerical implementations of analytical modules, models, and methodology documentation using mathematical theories and techniques including time series analysis, statistical analysis, numerical analysis and stochastic calculus.
• Support FO and Risk users in risk/capital analysis and optimization, the management of balance sheet, liquidity positions, margin etc.
• Deliver prototypes using or extending as appropriate our Python based modelling platform.
Required Skills & Experience:
• The successful candidate must be self-starter, patient, detail-oriented and team player. Be able to build consensus and influence decision.
• At least Master’s degree (or foreign equivalent) in Math, Physics, Statistics, Engineering or any quantitative field, with strong experience in a related financial quantitative development role.
• The candidate must have demonstrated experience in working with complex multi- platform C++ quantitative libraries and experience in designing and implementing analytic code. The candidate must have strong competence in both C++ (STL and boost) and a rapid prototyping environment (e.g. Python, R, matlab, etc.). They must be confident in communicating complex mathematical concepts with both technical and non-technical colleagues.
• The profile is completed by strong verbal and written communication skills.
• The successful candidate must be self-starter, patient and detail-oriented. Be able to build consensus and influence decision.
Preferred Skills & Experience:
• Strong industry experience.
• Knowledge of multiple asset class products.
• Exposure to multi-thread / multi-process programming.
• Python (Numpy, Scipy, Pandas) for prototyping.
• Exposure to functional programming concepts.