Financial Engineer
Core
Build and maintain volatility models and exotic pricers for equity and FX derivatives, applying AI/ML to accelerate risk computations.
Role type
Senior IC financial engineer (derivatives pricing & risk)
Builds
Volatility surfaces, exotic option pricers, and accelerated risk analytics (VaR, XVA) for front-office trading desks
Domain
Financial markets (Equity, FX) + Quantitative Finance
Deliverable
production ML models
Required skills
Option pricing theory, stochastic calculus, volatility modelling, numerical methods (Monte Carlo, PDE), Python, C++, AI coding tools
Preferred skills
Experience with AI-based pricers/calibrators, agentic tools, algorithmic differentiation
Technologies
Python, C++, Monte Carlo, PDE, neural networks, Chebyshev approximations
Responsibilities
Calibrate volatility smiles/surfaces, enhance exotic pricer accuracy/stability, accelerate risk computations with AI, validate AI-generated code, document model methodologies
Seniority
Senior, hands-on IC