Quant Developer VP Level

Anson McCade
25 Jul 2017
15 Aug 2017
Contract Type

Quant Developer VP Level

London based

My client is a top-tier American bank, seeking a talented strategist with a few years of experience who can design and develop the new and strategic pricing and risk management framework for the Equity derivatives business. The job will also involve learning about the businesses and the models they use, via formal and on the job training.

The team is responsible for providing the fundamental tools for pricing, risk management and PnL analysis across the equity derivatives business. The team is also responsible for providing the evaluation framework for the growing complex tradable strategies business.

The team works closely with trading, marketing and structuring and is part of the wider Quantitative Research group, globally responsible for providing quantitative solutions to the front office in the Investment Bank.

Core Responsibilities:

  • Working in partnership with Front office and technology, to drive the development of new and strategic pricing and risk management framework.
  • Develop further our pricing and risk management library.
  • Liaise with trading and front office to capture requirements and help driving development of the library and tools.
  • Rapid prototyping of tools.

Essential skills, experience and qualifications:

  • Very strong analytical and problem solving abilities.
  • Python, C++ coding with emphasis on numerical methods.
  • Excellent communication and software development skills.
  • Masters/PhD or equivalent degree in Computer Science, Mathematics, Physics or Engineering.
  • Strong maths.

Desirable skills/experience:

  • Equity derivative modelling, probability theory, stochastic processes, partial differential equations and numerical analysis.