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This role is focused on the Quant Development side of the FX Options Quant Team. This is a Front Office role based on the trading floor and involves liaising with traders and IT teams on the regular basis. The quant library is used for pricing and risk calculation of every FX options traded and runs on large grids as well as trader's Excel sheets. They are enhancing the team on the wake of upcoming development projects.
This role has been created in the wake of a strategic project to unite all Quant libraries behind a single interface that would be used by every IT systems across the firm. Majority of the work will involve implementing multiple interfaces and functionalities using the new interface i.e. front office risks, FRTB scenarios etc. The candidate will work on a variety of projects, designing and implementing code primarily in C++. The work done by the candidate will pave the path of how future IT systems will use the Quant library across the firm.
You will be exposed to a wide variety of mathematical and computer sciences problems ranging from hardware acceleration to interface design. You will be fully integrated into the front office Quant team and will work in close collaboration with the Traders, Structurers and members of Technology.
Qualifications and Competencies:
Degree in computer science or a mathematical subject (Maths/Physics/Engineering etc).
Strong background in computer science is required especially with strong C++. Experience in other major languages (C#, Java, Python) is also advantageous. Exposure to mathematical finance, derivative pricing models, and numerical techniques for derivative valuation (Monte Carlo Methods, PDE solvers...) is preferable.
Show keen interest in the financial markets.
Show keen interest in implementation of models and the architecture of model libraries.
Strong teamwork capability.
Ability to focus on major projects, and deliver promptly, whilst juggling the day to day requirements that come up.
Ability to communicate progress and importance of projects to non-technical clients of the Library.
Front Office development experience is advantageous, particularly those with Quant Developer experience.