Quant Developer/Analyst

1 week ago


London, Greater London, United Kingdom Experis - ManpowerGroup Full time

Job Title:
Equity Derivatives Quant Developer (Front Office)

Location:
London

Working Model:
Hybrid, travel at least twice a week in the office can be required

Duration:
up to end of 2024 with further extensions into 2025 possible

Daily Rate Available:
up to £1000 (depending on experience)

Inside IR35 via Umbrella:
Paystream, Danbro, Focused

ROLE DESCRIPTION

Equity Derivatives Quants (a division of Global Banking and Markets) are looking for a C++/Python developer specialising in Structured Equity Derivatives.


The candidate will be expected to:
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 Quantiative tooling required to support the platform
The role will cover the following agendas:
Delivery of the calculation infrastructure required for FRTB IMA regulatatory 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

The candidate should expect to have day-to-day interactions with the trading desk, other quants, the Risk and Finance departments, and technology teams.

While the role is London based, the team and clients are located globally with presence in London, Paris, Hong Kong and Bangalore.

Occasional travel may be required.
Essential Experience Required
~3-7 years working as a Quantitative Analyst developing models in quantitative finance, IT development, or a trading environment
~ A degree in mathematical finance, science or maths from a top tier university
~ Knowledge of the standard pricing models used in the investment banking industry
~ Two or more years C++ experience (preferably using Visual Studio 2017)
~ Two or more years Python experience required

Additional Experience / Qualifications Preferred
Background in stochastic processes, probability and numerical analysis. Physics, Engineering or similar subjects is desirable, but not strictly required.
Experience of data analysis
Knowledge of the main instruments used in Equities and Equity Derivatives
Knowledge of instrument pricing, sensitivity calculations, P&L prediction, P&L explain, VaR, ES and other risk measures.
Knowledge of distributed computing and serialisation techniques
Good knowledge of Excel.
Previously experience with CI/CD pipelines
Ability to work in fast-paced environment with proven ability to handle multiple outputs at one time
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