Equity Derivatives C++/Python Quant Developer

Contract C++/Python Developer for Equity Derivatives - Inside IR35 - 12 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