Quantitative Developer
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Role Title: Equity Derivatives Quant Developer
Duration: 6 month contract
Location: London, Hybrid 3 days per week onsite
Rate: up to £950 p/d Umbrella inside IR35
Role purpose / summary
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 Quantitative tooling required to support the platform
- The role will cover the following agendas:
- Delivery of the calculation infrastructure required for FRTB regulatory 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. 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.
Essential Certifications, Qualifications and Experience
- 3-7 years working as a Quantitative Developer 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
Desirable Knowledge, Skills & Experience
- Knowledge of instrument pricing, sensitivity calculations, P&L prediction, P&L explain, VaR, ES and other risk measures.
- Knowledge of the main instruments used in Equities and Equity Derivatives
- Knowledge of distributed computing and serialisation techniques
- Experience in cross-platform C++ development
- Knowledge of RUST would be a plus
- 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
All profiles will be reviewed against the required skills and experience. Due to the high number of applications we will only be able to respond to successful applicants in the first instance. We thank you for your interest and the time taken to apply!