Quantitative Developer

Experis

Greater London, UK

5 days ago

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Role details

Contract type

Permanent contract

Employment type

Full-time (> 32 hours)

Experience level

Expert

Experience required

5 years minimum

Working hours

Regular working hours

Job source

www.collegerecruiter.com

Tech stack

Java (Programming Language) Microsoft Excel Data Analysis C Sharp (Programming Language) C++ (Programming Language) Serialization Distributed Systems Perl (Programming Language) Python (Programming Language) Shell Script Git Information Technology

+2 more

Vba Programming Language Software Version Control

Job description

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:

Daily support for quant library pricing and risk issues
Design, development and integration of intraday pricing, risk and P&L calculations
Design, development and integration of end-of-day risk and P&L calculations allowing the retirement of the legacy vendor platform
Design, development and integration of market data 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. While the role is London based, the team and clients are located globally with presence in London, Paris, Hong Kong and Bangalore. Occasional travel may be required.

Requirements

Experience working as a Quantitative Developer pricing and risking derivatives 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 2022)
Knowledge of instrument pricing, sensitivity calculations, P&L prediction, P&L explain, VaR, ES and other risk measures.
Knowledge of Windows and UNIX/LINUX, understanding of and experience with version control systems (GIT) and distributed development process.
Knowledge of the main instruments used in FX, Fixed Income, Credit, or Equities
Test-drive development and automated CI/CD pipelines
Knowledge of distributed computing and serialisation techniques
Knowledge of at least one of the following scripting languages: Python, Perl, Shell Script, C#, Java, VBA.
Experience in cross-platform C++ development
Good knowledge of Excel.
Experience of data analysis
Ability to work in fast-paced environment with proven ability to handle multiple outputs at one time