Senior Cross-Asset Derivatives Quant Analyst
Bloomberg's Cross-Asset Derivatives Quant Team is responsible for modeling, implementing and deploying derivatives pricing models across all asset classes (FX, Equity, Rates, Commodity, and Credit, etc.), supporting the entire suite of Bloomberg products and services. This includes its terminal with 300,000+ clients, trading system solutions, enterprise risk management, and derivatives valuation service. The team ensures that state-of-the-art models driven by high quality market data are brought together in robust, fast and accurate implementations, keeping Bloomberg at the cutting-edge of derivatives analytics.
The group seeks a quant library developer with significant experience designing and implementing large scale software in C++, specific to developing a cross asset library for exotic derivatives pricing. You will participate in many stages of quantitative library development ranging from prototyping, production implementation, deployment and ongoing maintenance, as well as interaction with clients. We'll trust you to:
You'll need to have:
- Implement and integrate derivatives pricing models in the existing in-house cross asset C++ derivatives pricing libraries
- Improve accuracy and performance of existing pricing engines
- Document and communicate findings to internal and external clients as necessary
We'd love to see:
- Ph.D in a technical discipline (mathematics, finance, physics, engineering or similar field) required
- 1-5 years of extensive C++ experience is required
- Strong practical knowledge of numerical techniques employed in derivatives pricing models (Monte Carlo, PDE methods often used in calibration and pricing, analytical)
- History of team collaboration and comfort in a multi-developer environment with a facility for interacting with quants, IT groups and product managers
- Strong oral and written interpersonal skills
- Knowledge of pricing models across one or more asset classes, especially in the area of Equity derivatives.
We are an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, color, national origin, gender, sexual orientation, age, marital status, veteran status, or disability status.