Quant Developer

Quant Developer

Quant Capital is urgently looking for a Quant Developer to work for our high profile investment management vendor.

Our client is a well known global wealth management HFT software business. They provide valuations and pricing of derivatives to most of the buy side.
The Quant Developer will be involved in the design and development of OTC valuation models and work closely with the development team to integrate these analytics within the main valuation infrastructure for a broad range of OTC derivatives products across equity, credit, interest rate, commodities and foreign exchange markets.
This is an opportunity for a quantitative developer with development experience and knowledge of derivative pricing models for both vanilla and exotic derivatives.
The Quant Developer will be responsible for design, development and maintenance of several proprietary analytics libraries that drive our valuation engines across multiple applications. This will require the implementation of financial models that range from the simplest models to the more sophisticated analytics methods.
Quants Developers Must Have:
Min 1 years experience of Quant Development
PhD or Masters from a top tier school in Maths Stats, Physics or Engineering
Stochastic calculus
Experience in C++ or Java development tools and high-level object-oriented programming. Ideally experience in cross-platform build of C++ libraries is required (Unix, Solaris, Windows)
Strong years experience with a cross-asset exposure to derivative products including foreign exchange, interest rate, credit and equity derivatives
Partial differential equations and numerical analysis.
The Quant Dev will participate in all phases of system development including algorithm design, back testing, integration with other applications and production deployment. This role requires strong past experience with C++ or C# or Java programming, as it involves development of interfaces to the core C++ analytical library where the models are implemented. Model validation, including testing the model at its fundamental level and pricing real-world trades to ensure that the model produces the correct valuation, is a core part of this role.
My client is based in London
Quant, Pricing Derivatives, Consultancy C++ Quant Analyst Investment Bank, Hedge Fund Modelling