Core Analytics Development - Assoc Level

Anson McCade
25 Jul 2017
15 Aug 2017
Contract Type

Core Analytics Development - Assoc Level

London based

This is to provide infrastructure, pricing and hedging solutions for front office users within a top tier US bank through vanilla/core analytics libraries. The market coverage is mostly equities, interest rate derivatives, fixed income and credit products, and FX business streams.

Core Responsibilities:

  • Developing pricing functions written in 'C++' and 'C' and exposed via other APIs (e.g. Java, Python, Smalltalk, Excel). Tasks would encompass the coding, specification, implementation, testing and documentation of these functions.
  • Developing High Performance or optimized implementations of existing algorithms tuned for specific hardware architectures such as GPUs.
  • Supporting typical end users, e.g. AD developers, traders & middle office staff in the use of the functions.
  • Communicating with other technology groups that wish to embed the functionality in their applications.

Essential skills, experience, and qualifications:

  • Detailed understanding of 'C++' including experience of advanced features, e.g. templates, design patterns, STL, exception handling and templates.
  • PhD or Masters Degree in a financial discipline, e.g. PhD in Computer Science, Applied Mathematics from a top tier University.
  • Understanding of interest rate derivatives (zero curves, FRAs, swaps & futures), interest rate options (caps, floors, swaptions) and fixed income instruments (bonds, asset swaps). Some familiarity with volatility smile, skew and convexity. Knowledge of fundamentals of option pricing using Black-Scholes and knowledge of basic principles of risk management and sensitivity calculations (VaR, option greeks and market perturbations).

Desirable skills, experience, and qualifications:

  • Software Object Orientated Analysis & Design.
  • Knowledge of Credit derivatives including CDS, spread curves and risky bonds.
  • Spreadsheet experience.
  • Python programming skills.
  • Java programming skills.
  • CUDA/HPC or similar parallel programming experience.
  • Web programming skills (pylons).
  • 'C' programming skills.
  • Good familiarity with Visual Studio, cygwin, make, perl, bash scripting technologies.
  • VB/VBA programming skills.