Quantitative Analyst

Intercontinental Exchange Holdings, Inc.; City Of London; On-site; GBP 70,000 - 90,000; Full time

Job summary

A leading financial services firm in London is seeking a Quantitative Researcher to join their Global Quantitative Research team. The successful candidate will drive quantitative model research related items and require strong skills in C++ and Python. A PhD or MSc in a relevant scientific field is preferred along with 2+ years of experience in quantitative finance. This position offers involvement in diverse financial instruments including interest rate and equity derivatives.

Qualifications

• Strong mathematical knowledge of financial derivatives pricing and risk management models.
• 2+ years of work experience in quantitative finance from financial institutions.
• Capable of articulating complex concepts to senior management.

Responsibilities

• Drive clearing house margin, stress and collateral management models R&D.
• Define business requirements for model upgrades.
• Build models to price ETD derivatives.

Skills

Quantitative finance

C++

Python

Analytical skills

Problem-solving

Attention to detail

Education

PhD or MSc in Physics, Mathematics, Quantitative Finance, Statistics

Tools

Statistical software

Job description

Job Description Job Purpose

The selected candidate will join the Global Quantitative Research team at ICE which designs, implements, and supports enterprise quantitative models and systems.

The primary responsibility of this position will be to drive all quantitative model research related items in the Clearing Houses while supporting other business lines at ICE (Exchange, Data Services, etc.).

This job requires strong quantitative finance skills, a passion to see projects succeed and a strong attention to detail. It requires programming skills as well as mathematical knowledge. This role will interact with various teams of different backgrounds and expertise, so the ability to communicate clearly and concisely is a must. This role will have direct exposure to interest rate derivatives, equity derivatives, credit derivatives and commodity derivatives.

A strong background in programming, stochastic calculus and probability theory is preferred .

Responsibilities

• Drive clearing house margin, stress and collateral management models R&D.
• Define business requirements and specifications for model upgrades and enhancements.
• Build models to price ETD derivatives across all asset classes.
• Model volatility surface dynamics for liquid and illiquid assets
• Model specific risks such as concentration charges and wrong way risk.
• Contribute strongly to "hands-on" and ad-hoc requests for development and solutions in time-critical situations.
• Interact with risk departments to provide support for existing clearing house quantitative models.
• Interact with technology groups for production implementation design.
• Contribute to the core quantitative library used by the organization.

Knowledge and Experience

• PhD or MSc in Physics, Mathematics, Quantitative Finance, Statistics, or a relevant scientific field.
• Strong mathematical knowledge of financial derivatives pricing and risk management models.
• Excellent quantitative, analytical and problem-solving skills with solid knowledge of statistics, particularly time series analysis.
• Strong C++ and Python required.
• Capable of working under pressure within a diverse team to accommodate tight deadlines.
• Great attention to detail with ability to work independently and as part of a team.
• Capable to articulate complex concepts to senior management on a regular basis.
• 2+ years of work experience in quantitative finance fields from financial institutions, with proven record designing or implementing quantitative finance models preferred

Preferred

• Strong C++ knowledge
• Work experience in options pricing theory
• Work experience in Data Analytics and Machine Learning
• 1 Years of experience in a related field.