Financial Engineer (43C4C95)

Referment; Greater London; On-site; GBP 80,000 - 130,000; Full time

Job summary

Referment in London is hiring a Financial Engineer to design, develop and test models used to price financial positions and calculate real-time market risk across equity, credit, FX, fixed income, commodities and derivatives.

You will write high-performance C++ for large-scale distributed systems on a grid computing platform, and use Python, SQL and Snowflake to analyse, construct and validate model inputs, documenting methodologies for validation and compliance.

Qualifications

• 3-5 years of large-scale C++ development and program design
• Fluency with Python, Java and SQL
• Strong understanding of financial derivatives and market conventions
• Experience with data structures for financial data including yield curves and volatility surfaces
• Comfort with numerical methods, linear algebra and statistics

Responsibilities

• Design, develop and test models used to value financial positions and calculate market risk in real time
• Implement pricing and risk logic across asset classes and construct necessary model inputs

Skills

C++ development

Python

SQL

Quantitative finance

Numerical methods

Education

MS/PhD in relevant field

Tools

Snowflake

Grid computing

Job description

Referment is working with a capital-markets technology company whose software helps banks, hedge funds and asset managers trade, manage portfolios and measure risk in real time. Its Models and Quantitative Data team owns the pricing and market-risk models that run inside a live trading platform across every major asset class. The team is hiring a Financial Engineer in its London office.

The Role

You will design, develop and test the models used to value financial positions and calculate market risk metrics in real time. That covers implementing pricing and risk logic across equity, credit, FX, fixed income, commodities, crypto and their derivatives, and constructing the quantitative inputs those models require, from yield curves and volatility surfaces to interest-rate volatility cubes and correlation matrices.

You'll write modern, high-performance C++ for large-scale distributed systems on a grid computing platform, and use Python, SQL and Snowflake to analyse, construct and validate model inputs. You'll also document your methodologies to support internal and external validation and compliance processes, taking models from design through to production.

What We're Looking For

• Strong quantitative and programming skills, with 3-5 years of large-scale C++ development and program design and experience of data-intensive products.
• Fluency with additional languages such as Python, Java and SQL.
• A strong understanding of financial derivatives, market conventions and their implementation.
• Hands-on experience with financial data structures including yield curves (OIS, Libor, cross-currency), inflation curves, volatility surfaces and interest rate volatility cubes, preferably live or intraday.
• Comfort with numerical methods, linear algebra, partial differential equations, probability theory and statistics.

Desirable

• Experience building risk management tools such as VaR, Monte Carlo, scenario analysis and P&L.
• An M.S. or PhD in mathematics, physical sciences or engineering.

This could suit a financial engineer, quantitative developer or quantitative analyst from a bank, hedge fund or software vendor who wants to build pricing and risk models used in a live, multi-asset platform. The role is based in London and is in-office, with four days a week in the office; remote work is not available.

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