Senior Quantitative Software Engineer High-Performance Computing

GECI Int.; Paris; Sur place; EUR 70 000 - 90 000; Plein temps

Résumé du poste

A financial technology firm is seeking a quantitative software engineer to develop high-performance derivatives pricing solutions. The role requires expertise in C++/CUDA, mathematical programming, and collaboration with quantitative researchers. Candidates should have a Master's or PhD in a relevant field and extensive experience with high-performance computing. This is an opportunity to work in a cutting-edge environment utilizing advanced mathematical models and GPU computing.

Qualifications

• 7+ years expert level in numerical methods.
• 7+ years expert level in high-performance computing.
• 5-7 years advanced level in statistical simulations.
• 7+ years expert level in multi-core optimization.
• 5-7 years advanced level in derivatives pricing.
• 7+ years expert level in algorithmic efficiency.
• 3-5 years confirmed level in GPU Programming (CUDA / OpenCL).
• 3-5 years confirmed level in Python / R for Quantitative Analysis.
• 2-4 years confirmed level in Low-Latency Systems.
• 5-7 years advanced level in Linux / Unix Environment.
• 5-7 years advanced level in Distributed Systems Design.
• 5-7 years advanced level in Code Review and Mentoring.
• 7+ years expert level in Cross-functional Collaboration.
• 7+ years expert level in Technical English.

Responsabilités

• Develop and optimise Monte Carlo simulation engines for derivatives pricing.
• Implement high-performance algorithms for real-time risk calculations.
• Build GPU-accelerated computing solutions using CUDA / OpenCL.
• Design parallel processing systems handling millions of simulations.
• Resolve performance bottlenecks and scalability challenges.
• Create tools for traders to analyse profit / loss scenarios.

Connaissances

Mathematical Programming

C++ / CUDA Development

Monte Carlo Methods

Parallel Computing

Financial Mathematics

Performance Optimization

GPU Programming (CUDA / OpenCL)

Python / R for Quantitative Analysis

Low-Latency Systems

Linux / Unix Environment

Distributed Systems Design

Code Review and Mentoring

Cross-functional Collaboration

Technical English

Formation

Master's / PhD in Mathematics, Computer Science, Physics, or Engineering

Description du poste

Overview

Seeking exceptional quantitative software engineer for high-performance derivatives pricing platform utilising advanced mathematical models, GPU computing, and parallel processing architectures. Role involves working within elite quantitative research team, following rigorous development standards and collaborating with Quantitative Researchers and Trading Desk stakeholders.

Key Responsibilities

• Develop and optimise Monte Carlo simulation engines for derivatives pricing
• Implement high-performance algorithms for real-time risk calculations
• Build GPU-accelerated computing solutions using CUDA / OpenCL
• Design parallel processing systems handling millions of simulations
• Resolve performance bottlenecks and scalability challenges
• Create tools for traders to analyse profit / loss scenarios

Technical Requirements

Core Skills (Critical)

• Mathematical Programming : 7+ years expert level in numerical methods
• C++ / CUDA Development : 7+ years expert level in high-performance computing
• Monte Carlo Methods : 5-7 years advanced level in statistical simulations
• Parallel Computing : 7+ years expert level in multi-core optimization
• Financial Mathematics : 5-7 years advanced level in derivatives pricing
• Performance Optimization : 7+ years expert level in algorithmic efficiency

Specialized Skills (Important)

• GPU Programming (CUDA / OpenCL) : 3-5 years confirmed level
• Python / R for Quantitative Analysis : 3-5 years confirmed level
• Low-Latency Systems : 2-4 years confirmed level
• Linux / Unix Environment : 5-7 years advanced level

Architecture & Leadership

• Distributed Systems Design : 5-7 years advanced level
• Code Review and Mentoring : 5-7 years advanced level
• Cross-functional Collaboration : 7+ years expert level with traders / quants
• Technical English : 7+ years expert level

Environment

• High-frequency derivatives trading platform
• GPU cluster computing infrastructure
• Real-time market data feeds
• Agile development with continuous integration
• Collaborative research environment with PhDs and industry experts

Preferred Background

• Education : Master\'s / PhD in Mathematics, Computer Science, Physics, or Engineering
• Finance Experience : Prior exposure to options pricing, risk management, or algorithmic trading
• Research Mindset : Interest in financial mathematics and computational optimization
• Innovation Focus : Experience with sustainable computing and energy-efficient algorithms