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Equity Derivatives Quant Developer
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Equity Derivatives Quant 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 Quantitative tooling required to support the platform
The role will cover the following agendas:
- Delivery of the calculation infrastructure required for FRTB IMA 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
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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-driven development and automated CI/CD pipelines
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Desirable Knowledge, Skills & Experience
- 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 serialization techniques
- Experience in cross-platform C++ development
- Good knowledge of Excel
- Ability to work in a fast-paced environment with proven ability to handle multiple outputs at one time
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