Financial Engineer: AI-Enhanced Volatility & Exotics

Intercontinental Exchange (ICE); Greater London; On-site; GBP 110,000 - 170,000; Full time

Job summary

Intercontinental Exchange (ICE) is seeking a Financial Engineer to design and maintain volatility models and exotic pricers used by clients including front-office desks. You will calibrate smiles, enhance pricing methods, and apply AI to accelerate risk calculations.

The role covers model validation, back-testing and communication of complex topics to traders, risk managers, and tech teams across ICE’s data and analytics platform.

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 exotic option pricers.
• Solid grasp of numerical methods: Monte Carlo, PDE, optimisation and interpolation.

Responsibilities

• Volatility modelling and smile calibration for Equity and FX.
• Exotics pricing and risk using advanced numerical methods.
• Next-generation risk analytics with AI techniques to speed VaR and XVA.
• AI-accelerated development and rigorous code validation.
• Research, documentation and model governance for transparency.
• Large-scale data analysis to inform model development and strategy.
• Model interpretation and client guidance for traders and risk teams.

Skills

Python

C++

AI coding assistants

Clear communication

Education

Master’s or PhD in Mathematics, Physics, Financial Engineering or CS

Tools

Monte Carlo

PDE

Finite-Difference

Optimization

Interpolation

Job description

Intercontinental Exchange (ICE) is seeking a Financial Engineer to design and maintain volatility models and exotic pricers used by clients including front-office desks. You will calibrate smiles, enhance pricing methods, and apply AI to accelerate risk calculations.

The role covers model validation, back-testing and communication of complex topics to traders, risk managers, and tech teams across ICE’s data and analytics platform.