Quantitative Developer

Location - London (Hybrid 3 days on site)

Length - Initial 6 month contract with possible extension

Rate - up to £1100 Umbrella

Role Description

Equity Derivatives Quants (a division of Global Banking and Markets) are looking for a C++/Python developer specialising in Structured Equity Derivatives. The candidate will be expected to:

• Assist the design and implementation of pricing, risk and P&L infrastructure surrounding the core pricing library
• Assist the Quantitative Modellers to develop the core pricing library
• Develop the Quantiative tooling required to support the platform

The role will cover the following agendas:

• Delivery of the calculation infrastructure required for FRTB IMA regulatatory reporting
• Design and development of end-of-day risk and P&L calculations allowing the retirement of the legacy vendor platform
• Design and development of intraday risk and P&L calculations
• Design and development of market data marking pipelines

The candidate should expect to have day-to-day interactions with the trading desk, other quants, the Risk and Finance departments, and technology teams.

Essential Certifications

• Minimum 5 years working as a Quantitative Analyst developing models in quantitative finance, IT development, or a trading environment
• A degree in mathematical finance, science or maths from a top tier university
• Knowledge of the standard pricing models used in the investment banking industry
• Five or more years C++ experience (preferably using Visual Studio 2017)
• Five or more years Python experience required
• Test-drive development and automated CI/CD pipelines
• Background in stochastic processes, probability and numerical analysis. Physics, Engineering or similar subjects is desirable, but not strictly required.
• Experience of data analysis
• Knowledge of the main instruments used in Equities and Equity Derivatives
• Knowledge of instrument pricing, sensitivity calculations, P&L prediction, P&L explain, VaR, ES and other risk measures.
• Knowledge of distributed computing and serialisation techniques
• Experience in cross-platform C++ development
• Good knowledge of Excel.
• Ability to work in fast-paced environment with proven ability to handle multiple outputs at one time