Financial Quantitative Modeller for Structured Equity Derivatives

6 days ago


London, Greater London, United Kingdom Quanteam Full time

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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