Financial Engineer

Join ICE Data Derivatives to develop and maintain volatility models and exotic pricers used by front-office desks for risk-managing exotics books. You will calibrate smiles for Equity and FX, improve pricing and risk stability, and apply AI/ML to accelerate risk computation. The role combines rigorous quantitative work with clear explanations to traders and risk managers, contributing to governance and scalable analytics. This is a high-impact, production-focused engineering role in a fast-growing, data-driven environment.

• Volatility modelling and smile calibration: build and maintain models to fit equity and FX data, ensuring arbitrage-free and robust surfaces.
• Exotics pricing and risk: enhance pricing models (Monte Carlo, PDE, semi-analytical) for equity and FX exotics and improve sensitivities and convergence.
• Next-generation risk analytics: apply AI techniques to accelerate VaR and XVA computations with careful validation.
• AI-accelerated development: use AI coding tools, ensure rigorous testing, and maintain production-grade code governance.
• Research and documentation: produce rigorous analyses and comprehensive documentation for governance and knowledge transfer.
• Large-scale data analysis: extract insights from high-volume market data to inform models and strategy.
• Model interpretation and client guidance: communicate model behaviour and deliver actionable analytics to stakeholders.

• Proven experience as a quantitative analyst in derivatives pricing or modelling.
• Strong knowledge of option pricing theory, stochastic calculus and volatility modelling (local, stochastic, local-stochastic; smile dynamics).
• Hands-on experience calibrating volatility surfaces and building or validating exotic option pricers in equity and/or FX.
• Solid grasp of numerical methods: Monte Carlo, finite-difference/PDE, optimisation and interpolation.
• Strong programming skills in Python and C++ with good software engineering practices (testing, version control, code review).
• Proficiency with AI coding assistants and agentic tools (e.g. Claude, Codex, Copilot) and track record of using them to accelerate development while maintaining accuracy and governance.
• Ability to communicate complex quantitative topics clearly to technical and non-technical audiences.
• Master’s or PhD in Mathematics, Physics, Financial Engineering, Computer Science or related quantitative field.

• Rigour and attention to detail
• Curiosity and willingness to explore new techniques
• Ownership of problems from diagnosis to production
• Option pricing theory
• Stochastic calculus
• Volatility modelling (local, stochastic, local-stochastic, smile dynamics)