BGC Tech: Quantitative Developer- IPV BGC Tech: Quantitative Developer- IPV …

Cantor Fitzgerald
in New York, NY, United States
Permanent, Full time
Last application, 23 Jan 20
Competitive
Cantor Fitzgerald
in New York, NY, United States
Permanent, Full time
Last application, 23 Jan 20
Competitive
BGC Tech: Quantitative Developer- IPV
Job Description:
  • Junior, Mid, and Senior Levels available


BGC Partners is a global brokerage firm built upon the foundation of cutting-edge technology and exceptional talent. BGC Partners delivers world-class products to a diverse customer base on a daily basis.

As part of our data and analytics business, we recently launched a new initiative to provide clients with an integrated platform for market data, pre-trading/trading technologies, independent pricing validation and portfolio analysis. Within this initiative, we are looking for experienced junior/mid/senior quants to closely work with the teams of quants in New York and London and with the data science team to produce real time quantitative analytics within the Fenics platform. The team will be growing fast and will be covering FI, IR, MBS and Credit derivatives to start from.

Requirements:

• PhDs in Physics, Mathematics, Applied Math or Statistics.
• Hands-on experience working on large C/C++, Python libraries.
• At least 3 years' experience in an investment bank or a quantitative hedge fund as desk quant or quant developer covering at least one of the following asset classes:
      FI derivatives such as Treasuries, Corporate and Muni Bonds, TIPS, Callable Bonds. Experience with pricing methodologies, market best practices, static and dynamic risk measures. IR flow derivatives such as FRA, Futures, Swaps, CMS-linked instruments. Experience with convexity adjustments, curves building and pricing methodologies. Experience with SOFR transition and currencies other than USD would be a plus. IR volatility derivatives such as Caps/Floors, Swaptions, Bermudans, Cancellable Swaps. Experience with SABR model, volatility cube calibration and/or a multi-factor term structure model would be a plus. Credit derivatives, CDS, CDO. Experience with probability of default. Experience with xVA would be a big plus.
• Experience with numerical methods, PDE solvers, Monte Carlo simulations, numerical integration.
In addition, we are looking for a senior core Library quant able to maintain and improve our development environment (C++/Python), support our builds in both Windows and Linux and guarantee a seamless interface between different development environments. Experience with building testing tools would be a plus.

We expect all candidates to be able to work on a greenfield initiative with dedication and flexibility and bring in expertise in their own asset class. At the same time, we expect them to be able to support the rest of the team while we grow our organization from the bottom up.

In return we offer very competitive compensation packages, a productive and stimulating environment and the opportunity of sitting at a round table and work on an exciting white board start-up project within a global firm.

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