Quantitative Analyst/ Developer
This is a fantastic opportunity for a proven Quant Analyst/Developer to join a leading UK bank and support a programme that involves development of a family of new pricers for structured note valuation and risk computation on CPU and GPU. You will work in the front office Quantitative Research team, aligned to the Rates and FX product development, and will develop code within the production in-house C++11 quant library. This is an initial 12 month contract based in London city, paying up to £750/day.
The successful candidate will, in a team environment, use the specific requirements of the project to influence architectural design within the library.
Requirements for this role are:
- 7y+ experience working as quantitative analyst or quantitative developer in a large quant library within a major financial institution; in particular, strong adherence to development practices within a tight model governance framework.
- Exceptional C++ and an interest in modern features and the development of the language;
- Excel/VBA, Python, C# or Java would be a plus;
- Strong capacity for code abstraction and design skills;
- Extensive experience working with an object oriented code base for the creation of market data objects, instruments and pricing engines;
- Mathematically-based education at least to degree-level (e.g. Maths, Physics, Engineering) with solid understanding of calculus and linear algebra and some knowledge of stochastic calculus.
- Strong product knowledge of derivative products with a focus on Rates and FX; knowledge of inflation, commodity and equity derivatives would be a plus;
How to Apply
To apply for the role, you can apply directly through the site or you can reach me on the contact details below. Ideally we aim to provide feedback within 72 hours of your application but in some instances that may not be possible.
QUANTITATIVE, QUANT ANALYST, QUANT DEVELOPER, QUANT LIBRARY, C++, CODING, RATES, FX, EXCEL, VBA, INFLATION, COMMODITY, EQUITY DERIVATIVES, PYTHON, JAVA, MONTE-CARLO, BANKING, FINANCIAL SERVICES, LONDON, LONDON CITY
To find out more about Orgtel please visit www.orgtel.com
Orgtel, a trading division of SThree Partnership LLP is acting as an Employment Business in relation to this vacancy | Registered office | 1st Floor, 75 King William Street, London, EC4N 7BE, United Kingdom | Partnership Number | OC387148 England and Wales