Financial Engineer

Intercontinental Exchange; City of Westminster; Vor Ort; GBP 120.000 - 180.000; Vollzeit

Zusammenfassung

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.

Qualifikationen

• 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.

Aufgaben

• 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.

Kenntnisse

Derivatives pricing

Volatility modelling

Stochastic calculus

Python

C++

AI tools

Communication

Ausbildung

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

Tools

Python

C++

AI coding assistants

Git

Jobbeschreibung

We are looking for a Financial Engineer to join the team that builds and maintains the volatility models and exotic pricers used by our clients, including front-office trading desks that rely on our solution to risk-manage their exotics books every day. You will work on two core areas: fitting implied volatility smiles across Equity and FX and improving the accuracy and stability of our equity and FX exotics pricers and their risks. You will also apply modern AI and machine learning techniques to speed up risk computation. Your work will directly affect the prices, Greeks and risk numbers that traders and risk managers act on, so precision, robustness and clear communication matter as much as technical depth.

Responsibilities

Volatility Modelling and Smile Calibration

• Build, improve and maintain analytical and semi-analytical models to fit option smile and surface data across Equity and FX.
• Ensure calibrated surfaces are arbitrage-free, stable over time and robust to noisy or sparse market data.
• Handle asset-class specifics: dividends and borrow for equity, delta and quote conventions for FX.

Exotics Pricing and Risk

• Enhance pricing models and numerical methods (Monte Carlo, PDE, semi-analytical) for equity and FX exotics such as barriers, autocallables, cliquets, basket and worst-of products.
• Improve the accuracy and stability of prices and sensitivities, including smooth Greeks, convergence, handling of discontinuities and consistency between pricing and risk.
• Investigate and resolve pricing and risk issues raised by traders, risk managers and clients, and explain model behaviour in practical terms.
• Contribute to model validation, back-testing and benchmarking.

Next-Generation Risk Analytics

• Leverage advanced AI techniques (e.g. neural-network pricers and calibrators, surrogate models, algorithmic differentiation, Chebyshev or regression-based approximations) to significantly accelerate Value-at-Risk (VaR) and XVA computations.
• Assess the accuracy, stability and limitations of accelerated methods against reference pricers, in particular for risk and hedging use.

AI-Accelerated Development

• Use AI coding tools to speed up the development, testing, refactoring and documentation of pricing and calibration code, and share effective practices with the team.
• Validate AI-generated code rigorously (unit tests, convergence checks, comparison against reference implementations, code review), so that faster delivery does not compromise numerical accuracy or model governance.

Research and Documentation

• Produce rigorous analysis and comprehensive documentation of model methodologies, architectures and research findings to support transparency, model governance and knowledge transfer across the organisation.

Large-Scale Data Analysis

• Extract insights from complex, high-volume market and risk datasets to inform model development, diagnose model behaviour and shape business strategy.

Model Interpretation and Client Guidance

• Provide clear explanations of model behaviour (including AI-based models), conduct scenario analysis and deliver actionable analytics to stakeholders such as front-office traders, risk managers, sales and technology teams.

Requirements

• Proven experience as a quant in derivatives pricing or modelling at a bank, hedge fund, vendor or consultancy.
• Strong knowledge of option pricing theory, stochastic calculus and volatility modelling (local vol, stochastic vol, local-stochastic vol, smile dynamics).
• Hands‑on experience calibrating volatility surfaces and building or validating exotic optionpricers 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 a track record of using them to deliver code, research and documentation significantly faster, while keeping the rigour expected of production quant libraries.
• 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.

Core Competencies

• Rigour and attention to detail, with a focus on numerical stability and risk accuracy.
• Curiosity and willingness to explore new techniques while understanding their limits.
• Ownership of problems from diagnosis through to production delivery.
• A collaborative approach and the ability to work with traders, risk managers and developers.

About us

Intercontinental Exchange (NYSE:ICE) is a Fortune 500 company operating a leading network of global futures, equity, and equity options exchanges, alongside world-class clearing and data services spanning financial and commodity markets. We place the needs of our customers and global market participants at the forefront of everything we do. As a high-growth organisation, we pioneered transparency and risk management in global derivatives markets. Our team comprises engineers, strategists, and problem-solvers who continuously innovate technology solutions to address complex market structure challenges. The ICE Data Derivatives business provides market data, valuation, and analytics services across all OTC derivative asset classes to a global customer base.