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Equity Derivatives C++/Python Quant Developer

4 months ago

London, Greater London, United Kingdom Investigo Full time

Contract C++/Python Developer for Equity Derivatives - Inside IR Months


One of our global banking client's Equity Derivatives division is looking for a C++/Python developer
with experience 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 Quantitative 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

Key Skills:

  • 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
  • Extensive C++ or Python experience (preferably using Visual Studio 2017)

Desired Skills:

  • 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
  • Previously experience with CI/CD pipelines