C++ Quantitative Engineer: Options Pricing & Risk

Westren Capital; Greater London; Hybrid; GBP 190,000 - 225,000; Full time

Job summary

Westren Capital, a London-based proprietary trading firm, seeks a C++ Quantitative Developer to design and maintain options pricing and risk models. You will work closely with traders and researchers on the volatility desk to implement fast, mathematically sound pricing libraries and risk tools.

The role combines research and engineering, requiring a strong mathematical foundation, exposure to pricing theory, and Python for prototyping alongside production C++ development.

Qualifications

• Strong C++ skills with a solid understanding of options pricing theory (Black-Scholes and beyond)
• Python proficiency for research and prototyping alongside production C++ work
• Experience building or maintaining pricing and risk systems in a trading environment

Responsibilities

• Design, build, and maintain options pricing and risk models in C++, collaborating with traders and quant researchers
• Implement and optimise pricing libraries for real-time performance
• Build tools for volatility surface construction, Greeks calculation, and scenario analysis
• Investigate discrepancies between model output and market behaviour and resolve them
• Integrate pricing infrastructure with the broader trading system with the platform team
• Refine models as market structure and instruments evolve

Skills

C++

Python

Math fundamentals

Options pricing

Pricing systems

Trader collaboration

Job description

Westren Capital, a London-based proprietary trading firm, seeks a C++ Quantitative Developer to design and maintain options pricing and risk models. You will work closely with traders and researchers on the volatility desk to implement fast, mathematically sound pricing libraries and risk tools.

The role combines research and engineering, requiring a strong mathematical foundation, exposure to pricing theory, and Python for prototyping alongside production C++ development.