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Quant Developer

LMA
Job LocationLondon
EducationNot Mentioned
SalarySalary negotiable
IndustryNot Mentioned
Functional AreaNot Mentioned
Job TypePermanent, full-time

Job Description

LMA is partnering with a Global Financial Services business to recruit a Quant Developer.The Quant Developer will work closely with the Front Office Development team to develop new models, building on existing models and understanding business requirements.

  • Enhance the C++ pricing and valuation models , migrating existing existing curve data libraries under a single environment.
  • Design of trade data feeds and tests
  • Working and extending libraries on the existing Quant and IT infrastructure
    • To be successful in this role you will need:
  • Sound knowledge and exposure to vanilla and complex derivatives pricing models across different asset classes.
  • Exposure to Fixed Income and FX markets and their derivatives.
  • Demonstrated experience in developing models for pricing complex derivatives using one or more methods and risk measures generation.
  • Strong experience in IR and FX curve construction.
  • Working with derived curves and knowledge of proxy data is a plus.
  • A good feel of automation practices is required.
  • Strong knowledge of CVA and CSA-specific discounting.
  • Experience developing large scale applications with an emphasis on performance, numerical accuracy, reliability and transferability.
  • 5+ Years of professional C++.
  • Knowledge of scripting in VBA, C#, and Python is an advantage. Knowledge of tool integration in Excel is a plus.
  • Knowledge of Windows and UNIX/LINUX.
  • Solid Understanding of object oriented design, data structures and algorithms.
  • Strong Software development skills (design, development, testing, debugging, trouble shooting)
  • PHD in Mathematics, Physics , Engineering, Computational Finance or similar Quantative discipline

    • APPLY NOW

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