Financial Quantitative Modeller for Structured Equity Derivatives
6 days ago
About the Role
We are seeking a skilled Financial Quantitative Modeller to join our team in London, working on Structured Equity Derivatives.
The ideal candidate will have 3-7 years of experience 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 is required. Knowledge of standard pricing models used in the investment banking industry and C++/Python programming skills are essential.
Key Responsibilities
- Assist in the design and implementation of pricing, risk and P&L infrastructure surrounding the core pricing library
- Support Quantitative Modellers in developing the core pricing library
- Develop Quantitative tooling required to support the platform
Agendas
- Delivery of 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
Requirements
- 3-7 years working experience in quantitative finance, IT development, or a trading environment
- A degree in mathematical finance, science or maths from a top tier university
- Knowledge of 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
Salary: £70,000 - £90,000 per annum
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