My client, a tier 1 investment bank, is seeking an exceptional, highly numerate and analytical individual, with strong skills in production software design in OO programming languages, who possesses an expert level of C++ knowledge, to join their Quantitative Analytics Group as a Quant Analyst.
About Quantitative Analytics
The Global Quantitative Analytics group (QA) is responsible for the research, development and implementation of quantitative models across all asset classes (Interest Rates, Credit, Equity, Foreign Exchange, Commodities, Emerging Markets and Counterparty Risk).
QA's mission is to generate revenue by providing the pricing and risk management solutions and advice needed for Trading, Structuring and Sales to close derivative trades, risk manage them on a sustainable basis, and take strategic positions on derivatives.
About QA Structured Products and Strategies
The QA-SPS team is part of the Global Quantitative Analytics group (QA) and is responsible for research, development and implementation of quantitative models for the structured products, quantitative index and strategies business. The team works closely with the trading desk to provide cutting-edge valuation and risk management solutions, and with IT to build strategic technology platforms for the bank. The QA-SPS team has members in London, Hong Kong, New York, Paris and Kiev and works as a closely integrated team, sharing expertise and responsibility for key deliverables.
* Design, development and maintenance of new models and infrastructure components
* Liaise with Front Office and Technology, to deploy new and strategic pricing risk library to production
* Developing and supporting the quantitative research framework using C++, Python, Lua and other in-house domain specific languages
* Integration of new pricing risk library to production systems, including price matching exercise of the existing trading position
* Enhance software development infrastructure for the team (CI, build system, packaging, testing framework)
* Masters or PhD in Mathematics/Computer Science or related field
* Strong skills in production software design in OO programming languages
* Expert level of C++ knowledge
* Flexibility in development technologies. Expected to work with different technologies and languages including Python, Lua, C#, Java, Haskell, F# as well as in-house DSLs
* Strong analytical and numerical skills
* Ability to easily switch from one project to the other following the change of priorities
* Passionate about learning domain specific problems in equity derivatives business
* Good written and verbal communication in English
* Understanding of high-performance computing (multi-thread programming, GPU, cloud environment)
* Understanding of current processor architecture (x86), and low-level programming (e.g. LLVM backend)
* Experience with cross-platform development (Windows/Linux)
* Experience providing DevOps tools for users: configuring, installing and maintaining such software
* Experience working on derivatives business modelling, preferably within Equities
* Experience with Machine Learning techniques