Financial Engineer (B2C2CC8)

Referment; Greater London; On-site; GBP 90,000 - 140,000; Full time

Job summary

Referment is hiring a Financial Engineer in London to design, develop and test models for pricing financial positions and computing real-time market risk. You will work on pricing and risk logic across equity, credit, FX, rates and commodities, using C++ for large-scale distributed systems.

The role requires strong quantitative and programming skills, with experience in yield curves, volatility surfaces and other data structures.

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 financial data structures including yield curves, volatility surfaces and interest rate volatility cubes.
• Knowledge of numerical methods, linear algebra, probability 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 multiple asset classes and construct quantitative inputs.
• Document methodologies to support validation and compliance and take models from design to production.

Skills

C++ development

Python

SQL

Quantitative finance

Financial derivatives

Education

MS/PhD in mathematics or engineering

Tools

Snowflake

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