AI-Driven Derivatives Quant Engineer

Intercontinental Exchange; City of Westminster; On-site; GBP 120,000 - 180,000; Full time

Job summary

Intercontinental Exchange (ICE) is seeking a Financial Engineer to join the team that builds volatility models and exotic pricers used by front-office desks to risk-manage exotics books daily.

You will calibrate implied volatility smiles for Equity and FX, improve pricing accuracy and risk metrics, and apply AI/ML techniques to speed up computations. Strong communication and rigorous coding standards are essential.

Qualifications

• Experience as a quant in derivatives pricing or modelling.
• Strong knowledge of option pricing theory and stochastic calculus.
• Hands-on experience calibrating volatility surfaces and exotic pricers.
• Solid grasp of Monte Carlo, PDEs and interpolation.
• Proficient Python and C++ with good software practices.
• Familiarity with AI coding assistants and tooling.
• Ability to explain complex quantitative topics clearly.

Responsibilities

• Build, improve and maintain volatility models for Equity and FX.
• calibrate smiles, ensure arbitrage-free surfaces and stability.
• Enhance pricing/risk for exotics like barriers and cliquets.
• Apply AI/ML to accelerate VaR and XVA computations.
• Document methodologies and support model governance.

Skills

Derivatives pricing

Volatility modelling

Stochastic calculus

Python

C++

AI tools

Communication

Education

Master's or PhD in Mathematics/Physics/Financial Engineering/CS

Tools

Python

C++

AI coding assistants

Git

Job description

Intercontinental Exchange (ICE) is seeking a Financial Engineer to join the team that builds volatility models and exotic pricers used by front-office desks to risk-manage exotics books daily.

You will calibrate implied volatility smiles for Equity and FX, improve pricing accuracy and risk metrics, and apply AI/ML techniques to speed up computations. Strong communication and rigorous coding standards are essential.