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This is to provide infrastructure, pricing and hedging solutions for front office users within a top tier US bank through vanilla/core analytics libraries. The market coverage is mostly equities, interest rate derivatives, fixed income and credit products, and FX business streams.
Developing pricing functions written in 'C++' and 'C' and exposed via other APIs (e.g. Java, Python, Smalltalk, Excel). Tasks would encompass the coding, specification, implementation, testing and documentation of these functions.
Developing High Performance or optimized implementations of existing algorithms tuned for specific hardware architectures such as GPUs.
Supporting typical end users, e.g. AD developers, traders & middle office staff in the use of the functions.
Communicating with other technology groups that wish to embed the functionality in their applications.
Essential skills, experience, and qualifications:
Detailed understanding of 'C++' including experience of advanced features, e.g. templates, design patterns, STL, exception handling and templates.
PhD or Masters Degree in a financial discipline, e.g. PhD in Computer Science, Applied Mathematics from a top tier University.
Understanding of interest rate derivatives (zero curves, FRAs, swaps & futures), interest rate options (caps, floors, swaptions) and fixed income instruments (bonds, asset swaps). Some familiarity with volatility smile, skew and convexity. Knowledge of fundamentals of option pricing using Black-Scholes and knowledge of basic principles of risk management and sensitivity calculations (VaR, option greeks and market perturbations).
Desirable skills, experience, and qualifications:
Software Object Orientated Analysis & Design.
Knowledge of Credit derivatives including CDS, spread curves and risky bonds.
Python programming skills.
Java programming skills.
CUDA/HPC or similar parallel programming experience.
Web programming skills (pylons).
'C' programming skills.
Good familiarity with Visual Studio, cygwin, make, perl, bash scripting technologies.