Quant Software Engineer - Energy

The main requirement is a track record of writing OTC derivative pricing or valuation models yourself, in production code. We are seeking a quant developer with a financial engineering background and 3 to 10 years of experience, who can take the mathematics of a model and implement it natively, weigh the trade-offs between computational approaches, and reason from first principles about risk and valuation. You should also know how to keep a distributed run reproducible and correct when machines fail or load spikes. xrbllit A degree combining computer science and financial engineering is a strong fit. Commodities experience is not required, though you will stand out if you have priced storage, swing, spread or tolling deals, or used mean-reverting price models such as Schwartz-Smith.

Skills and expertise

• OTC derivative pricing models, linear and nonlinear

• Option pricing (e.g. Black-76, spread options, Asian options)

• Monte Carlo methods, including Least Squares Monte Carlo

• Trees and PDE / finite difference methods

• Valuation and cashflow models

• Distributed compute grids for pricing and risk (e.g. Ray, Dask, Spark or in-house grids)

• Reproducible parallel computation (random seeding, ordered aggregation, consistent market data snapshots)

• Fault tolerance (retries, idempotency, checkpointing)

• High-throughput backend systems and messaging (e.g. Kafka)

• Python (main language)

• C++