Quant Developer / Quant Analyst – Equity Derivatives

Quant Developer / Quant Analyst – Equity Derivatives

My global banking client, based in London, is looking for an experienced Quantitative Developer with strong Equity Derivatives knowledge. The Quant Developer will have day-to-day interactions with the trading desk, other quants, the Risk and Finance departments, and technology teams. We are looking for a C++ / Python developer specialising in Structured Equity Derivatives. Initial contract until end of June (will be ongoing for the next 2 years so contracts likely to be extended on a 6-month basis for up to 2 years.). Paying up to £1025pd Umbrella rate and 3 days per week in the London office.

Key skills:

·         Experience working as a Quantitative Analyst / Quant Developer within a Global Bank

·         Knowledge of the main instruments used in Equities and Equity Derivatives

·         A degree in mathematical finance, science or maths

·         Knowledge of the standard pricing models used in the investment banking industry

·         C++ experience (preferably using Visual Studio 2017)

·         Python experience

·         Test-drive development and automated CI/CD pipelines

·         Background in stochastic processes, probability and numerical analysis.

·         Experience of data analysis

·         Knowledge of instrument pricing, sensitivity calculations, P&L prediction, P&L explain, VaR, ES and other risk measures.

Responsibilities:

·         Assist the design and implementation of pricing, risk and P&L infrastructure surrounding the core pricing library

·         Assist the Quantitative Modellers to develop the core pricing library

·         Develop the Quantitative tooling required to support the platform

·         The role will cover the following agendas:

·         Delivery of the calculation infrastructure required for FRTB IMA regulatory reporting

·         Design and development of end-of-day risk and P&L calculations allowing the retirement of the legacy vendor platform

·         Design and development of intraday risk and P&L calculations

·         Design and development of market data marking pipelines

Please apply now for immediate consideration and further details.

Keywords: Quant Developer, Quantitative Developer, Quantitative Analyst, Quant Analyst, Quant, Equity Derivatives, Structured Equity Derivatives, Python, C++, Banking, Bank.  

Scot Lewis Associates Ltd is acting as an employment business.