Quantitative Development Lead, VP

Join us as a Quantitative Development Lead

• We’ll look to you to work closely with trading desks to develop and improve pricing and risk management tools on our strategic platform
• You’ll have the opportunity to contribute to strategic Python quantitative tools and C++ library for Front Office Trading, Risk and Finance
• This high-profile role will bring you excellent exposure with global stakeholders, as you lead and build a strong Quants team with global competences and ownership
• We're offering this role at vice president level

As a Quantitative Development Lead, you’ll be at the forefront of new pricing and risk calculation methods to adapt to market and regulatory environment changes such as Libor discontinuation and the Fundamental Review of the Trading Book. You’ll also be collaborating with the Front Office Quants, Trading desks, Risk and Finance teams in London.

Your role will also involve:

• Undertaking investigations in a logical and planned manner of a quantitative nature, drawing conclusions and presenting your work to peers and supervisors for assessment and feedback
• Building a team that’ll take ownership of and work on SAF client projects, including contributing to Front Office intra or end-of-day C++ pricing libraries
• Helping to build out key components and packages in our in-house Python library
• Disseminating or adopting best practices both within the team and when collaborating with Front Office Quants, Risk and Finance teams

We’re looking for someone with a strong technical background in multi-asset class trade present value or Risk and P&L calculation and analysis, encompassing both risk and full revaluation based P&L from a front office perspective.

As well as a holding a degree in a STEM subject, you’ll need at least 10 years of working experience, with at least six years’ Python or C++ programming experience.

You’ll also need:

• An understanding and development experience of derivative products, with the ability to explain different attributes for products and how cashflows and PV are calculated
• An understanding and development experience of market data
• Development experience in the front office Quant library, with a deep understanding of products and options pricing models for interest rate derivatives
• A strong mathematical background, preferably with good knowledge in probability, quantitative finance, stochastic calculus, numerical methods, multivariate statistics, econometrics, optimisation and time series analysis
• An understanding and development experience of market data, including how a curves and VOL surface are constructed from market quotes, and different models are used for construction

Hours

Job Posting Closing Date: