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Core Quant Dev Analytics - C++ - VP/ED level

Job LocationLondon
EducationNot Mentioned
SalaryCompetitive salary
IndustryNot Mentioned
Functional AreaNot Mentioned
Job TypePermanent , full-time

Job Description

Core Quant Dev Analytics - C++ - VP/ED levelLondon basedOur client spends more than $9 billion a year to be at the forefront of technological innovation. Leveraging petascale compute clusters, they develop and maintain sophisticated mathematical models, cutting-edge methodologies and infrastructure to value andhedge financial transactions ranging from vanilla flow products to high- and low-frequency trading algorithms.They are looking for a new member to join a core Quant team focusing specifically on high performance computing.Responsibilities:

  • Developing in a C++/CUDA/Python software library that prices derivatives and calculates risks;
  • Focus is on efficient algorithms, vectorization and parallelization, compilers, architecture of cross-asset pricing engines, core library frameworks and continuous integration infrastructure;
  • Optimization of the code for specific hardware, from todays production staples to future disruptive innovations;
  • Support of end users of the library and communicating with desk-aligned quant teams and technology groups.
Requirements:
  • A postgraduate degree (preferably PhD), or equivalent, in a quantitative field, e.g. computer science, mathematics, engineering, physics, or finance;
  • Excellent software and algorithm design and development skills, particularly in C++
  • Outstanding problem solving skills;
  • Basic understanding of numerical methods, probability and foundations of quantitative finance to ensure that detailed model knowledge can be picked up if required.
Preferred:
  • Experience in parallel programming, e.g. TBB, OpenMP, CUDA or OpenCL;
  • Python, Java, Perl and web programming skills;
  • Previous work experience as a software developer or a quant.

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