Financial Engineer (B2C2CC8)

Referment; Greater London; On-site; GBP 90,000 - 125,000; Full time

Job summary

Referment is hiring a Financial Engineer in London to design, develop and test models used to value financial positions and measure real-time market risk. You will implement pricing and risk logic across equities, credit, FX, fixed income, commodities and derivatives.

Expect high-performance C++ on a distributed grid, with Python, SQL and Snowflake for data analysis and validation. The role is based in London, in-office four days per week, with no remote work.

Qualifications

• Design and implement pricing and risk models in real time.
• Work with yield curves, volatility surfaces and other inputs.
• Develop high-performance C++ for distributed systems.

Responsibilities

• Design, develop and test models used to value financial positions and calculate market risk in real time.
• Implement pricing and risk logic across multiple asset classes and derivatives.
• Write modern C++ and use Python/SQL to analyse and validate inputs.
• Document methodologies to support validation and compliance processes.

Skills

C++ development

Data-intensive

Quantitative modeling

Financial derivatives knowledge

Python

SQL

Java

Education

MS or PhD in a relevant field

Tools

Python

SQL

Git

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.

#Referment