Front Office Equities Derivatives Quant

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

Equity Derivatives Quants (a division of Global Banking and Markets) are looking for a C++ and/or Python quant developer specialising 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

You will:

• 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

You should expect to have day-to-day interactions with the trading desk, other quants, the Risk and Finance departments, and technology teams. This team and clients are located globally with presence in London, Paris, Hong Kong and Bangalore. Occasional travel may be required.

Your background:

• 3-7 years working as a Quantitative Developer developing models in quantitative finance, IT development, or a trading environment
• 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
• Five or more years C++ (primary) Rust/Python (secondary) experience required - **Five or more years C++ experience (preferably using Visual Studio 2022)
• Test-drive development and automated CI/CD pipelines
• Experience in cross-platform C++ development
• Experience in python is highly beneficial

Ideally you should also have:

• Knowledge of instrument pricing, sensitivity calculations, P&L prediction, P&L explain, VaR, ES and other risk measures.
• Knowledge of the main instruments used in Equities and Equity Derivatives
• Knowledge of distributed computing and serialisation techniques
• Good knowledge of Excel.
• Experience of data analysis
• Ability to work in fast-paced environment with proven ability to handle multiple outputs at one time

We are committed to a diverse and inclusive workplace where all individuals are respected and valued. We welcome applicants from every background and uphold equality across all characteristics. Diversity drives innovation and strengthens our ability to deliver exceptional results. Our aim is an environment where everyone can thrive and contribute to collective success.