Equity Derivatives Quant Developer (C++/Python)

Quanteam UK; Paris; Sur place; EUR 90 000 - 150 000; Plein temps

Résumé du poste

Global Banking and Markets Equity DerivativesQuants team seeks a C++ and/or Python quant developer specializing in Structured Equity Derivatives. You will help design and implement pricing, risk and P&L infrastructure around the core pricing library.

You will deliver calculation infrastructure for FRTB IMA reporting, develop end-of-day and intraday risk/P&L calculations, and build market data marking pipelines.

Qualifications

• 3-7 years working as a Quantitative Developer
• Degree in mathematical finance, science, or maths from a top tier university
• Knowledge of the standard pricing models used in the investment banking industry
• Five or more years C++ experience (preferably using Visual Studio 2022)
• Test-driven development and automated CI/CD pipelines
• Experience in cross-platform C++ development
• Experience in Python is highly beneficial

Responsabilités

• Delivery of the 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

Connaissances

C++

Python

Rust

Formation

Degree in mathematical finance, science, or maths

Outils

Visual Studio 2022

Description du poste

Global Banking and Markets Equity DerivativesQuants team seeks a C++ and/or Python quant developer specializing in Structured Equity Derivatives. You will help design and implement pricing, risk and P&L infrastructure around the core pricing library.

You will deliver calculation infrastructure for FRTB IMA reporting, develop end-of-day and intraday risk/P&L calculations, and build market data marking pipelines.