Senior Quant Analyst Developer / Architect (Director), London, New York, Toronto

  • To £300K ($450K)
  • London, England, United Kingdom
  • Permanent, Full time
  • Millar Associates
  • 15 Oct 18

Within this top-tier investment bank, the global Quant team supports derivatives trading globally. They are now looking for a creative and experienced Quant Analyst Developer / Library Architect to work closely with the quants in implementing the models and assisting with redesign of a robust and scaleable multi-asset derivatives valuation model library for the derivatives business globally. This is a highly visible role with a great career potential to lead junior quants or quant developers as the library rebuild progresses. There is also a role for a VP to work with the Director hire.

KEY RESPONSIBILITIES:

  • Redesign and develop a robust and scaleable multi-asset derivatives valuation model library
  • Redesign the architecture and framework for FO analytics which use the model library for pricing, risk monitoring and hedging, and P&L
  • Establish programming standards and best practices and perform peer code review
  • Set up continuous integration framework for seamless delivery of models to production and FO applications
  • Establish robust regression and testing framework for models and FO analytics
  • Introduce up to date technology stack related to models and FO analytics to the bank

KEY SKILLS:

  • At least five years' software development experience, preferably as a quant or quantitative developer working on a large derivatives model library
  • Exceptional C++/C++11 skills and awareness of C++14 and C++17 with strong capacity of abstraction and design
  • Good knowldge of one of the main asset classes such as rates derivatives, equity derivatives, etc.
  • Development experiences in Monte Carlo simulation and numerical PDE
  • Significant experiences of development on both Linux and Windows platforms
  • Strong communication and interpersonal skills and a team player
  • Ability to work well in a fast-paced environment with changing priorities

EDUCATION:

  • Advanced degree in Software Engineering, Computer Science, Quantitative Finance, Mathematics, or other quantitative disciplines