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You will develop their C# derivative pricing library and produce code for running the library in a distributed manner. You will enjoy exposure to cross-asset derivatives across: FX, interest rates, equities, credit & commodities. The now seek to significantly increasing capacity and performance and this represents an incredible opportunity to join a rapidly growing business with strong institutional backing and a great proven track record in delivering world-leading portfolio management services .
To develop and enhance the C# derivative pricing library as well as code for running the library in a distributed manner.
Work may include derivatives across: FX, interest rates, equities, credit or commodities portfolios
Build new features e.g. historical analysis, factor models, screening
Support for user preferences
KEY SKILLS & EXPERIENCE:
5-10+ years' of experience developing applications in C# with good knowledge of coding fundamentals
Knowledge of the standard pricing models e.g. Black Scholes, sensitivities, with a strong understanding of derivatives in at least one asset class
Experience working with interest rate curves, vol surfaces and other market data
Great communication skills and the ability to work as part of a team & build consensus around a design
Ability to explain complicated concepts with ease
(By way of background, their stack is comprised of C# .NET Core 3.1 services which call into a proprietary C++ quant library and present results via a React frontend. Hosted on Linux in AWS with large calculations distributed over many instances, messaging via Redis. Source control, CI, CD and issue tracking are all done in GitLab.)