Quantitative Engineer – Real-Time Pricing & Risk (London)

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 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.