AI-Driven Quant: Exotics Pricing & Risk

ICE Clear Europe Limited; Greater London; On-site; GBP 120,000 - 210,000; Full time

Job summary

Intercontinental Exchange seeking a Financial Engineer to join the ICE Data Derivatives team, building volatility models and exotic pricers used by front-office traders.

You will apply AI/ML techniques to speed risk computations, calibrate surfaces, and clearly explain model behaviour to stakeholders across trading, risk and technology. This role offers global market exposure and impact.

Qualifications

• Proven experience as a quant in derivatives pricing or modelling.
• Strong knowledge of option pricing theory, stochastic calculus and volatility modelling.
• Hands-on experience calibrating volatility surfaces and building or validating exotic option pricers in equity and/or FX.
• Solid grasp of numerical methods: Monte Carlo, finite-difference/PDE, optimisation and interpolation.
• Strong programming skills in Python and C++ (or a comparable compiled language), with good software engineering practices (testing, version control, code review).
• Proficiency with AI coding assistants and agentic tools (e.g. Claude, Codex, Copilot), with productivity benefits.
• Ability to communicate complex quantitative topics clearly to both technical and non-technical audiences.
• Master’s or PhD in Mathematics, Physics, Financial Engineering, Computer Science or a related quantitative field.

Responsibilities

• Develop, calibrate, and maintain volatility models and pricing engines for equity and FX exotics.
• Improve accuracy and stability of prices and sensitivities, including Greeks and risk metrics.
• Advance risk analytics and AI-accelerated methods to speed VaR and XVA computations.
• Collaborate with traders, risk managers and developers to address model governance and deployment.
• Contribute to model validation, back-testing and benchmarking.
• Create thorough documentation of methodologies, architectures and findings to support knowledge transfer.

Skills

Python programming

C++ programming

Quantitative modelling

Option pricing theory

Stochastic calculus

Volatility modelling

AI/ML techniques

Numerical methods

Education

Master’s/PhD in quantitative field

Tools

Monte Carlo

PDE finite-difference

Git

Job description

Intercontinental Exchange seeking a Financial Engineer to join the ICE Data Derivatives team, building volatility models and exotic pricers used by front-office traders.

You will apply AI/ML techniques to speed risk computations, calibrate surfaces, and clearly explain model behaviour to stakeholders across trading, risk and technology. This role offers global market exposure and impact.