Equity Derivatives Quant Developer - Python/C++

Investigo
London
2 months ago
Applications closed

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Contract Equity Derivatives Quant Developer - C++/Python - £1000pd


One of our Global Investment Banking clients is looking for several Equity Derivatives Quant Developers skilled in either C++ or Python.

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

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, Qualifications and Experience:

  • 3-7 years working as a Quantitative Analyst/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
  • Two or more years C++ experience (preferably using Visual Studio 2017)
  • Two or more years Python experience required

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.

Additional Skills:

  • Knowledge of distributed computing and serialization techniques would be desired.
  • Good knowledge of Excel.
  • Exposure to Google Protobuf
  • Previous experience with CI/CD pipelines
  • Ability to work in a fast-paced environment with proven ability to handle multiple outputs at one time

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