Quantitative Developer
Two Quantitative Developers for the models and quantitative data team at a global trading and risk SaaS vendor. You'll build pricing models and real-time market risk, VaR and greeks across every asset class, in modern high-performance C++ on a grid computing platform. Global investment banks and multi-strategy hedge funds run on these models, so the maths and the engineering both have to hold up.
The work
Two hires into the London models and quantitative data team. The team designs, builds and tests the models that value financial positions, constructs the datasets behind them, such as curves, volatility cubes and correlation matrices, and calculates market risk in real time across equity, credit, FX, fixed income, commodities, crypto and their derivatives. It suits someone as comfortable with numerical methods, linear algebra and PDEs as with system performance and clean architecture, who wants ownership of hard problems. The role is London-based, four days a week in the office. Remote working is not possible.
What you'll be doing
- Design and build models for pricing positions and calculating market risk metrics across asset classes and their derivatives
- Write modern, high-performance C++ that is clean, reusable and well tested, built for large-scale distributed systems on a grid computing platform
- Use Python, SQL and Snowflake to analyse, construct and validate model inputs
- Document methodologies to support internal and external model validation and compliance
What you'll need
An MS or PhD in mathematics, physical sciences or engineering is preferred.
- 3 to 5 years of large-scale C++ development and program design on data-intensive products
- Strong quantitative foundations: numerical methods, linear algebra, PDEs, probability and statistics
- A strong understanding of financial derivatives, market conventions and how they are implemented
- Hands-on work with yield curves (OIS, Libor, cross-currency), inflation curves, volatility surfaces and interest rate volatility cubes, ideally live or intraday
- Python, Java and SQL alongside C++
- Risk tooling experience, such as VaR, Monte Carlo, scenario analysis and P&L, is a plus
What happens next
We start with a confidential conversation to walk through the team, the models and the problems you would be working on before anything moves forward.
If it is a fit, you will get a straight read on the process and the comp. If it is not, I will tell you that too.