Financial Engineer
Core
Build and maintain volatility models and exotic pricers for equity and FX, 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)
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 neural-network pricers, algorithmic differentiation, Chebyshev approximations
Technologies
Python, C++, Monte Carlo, PDE, Neural Networks, Algorithmic Differentiation
Responsibilities
Calibrate volatility surfaces for Equity and FX; Enhance pricing models for exotic options (barriers, autocallables, cliquets); Accelerate VaR and XVA computations using AI; Validate AI-generated code for numerical accuracy; Document model methodologies and research findings.
Seniority
Senior, hands-on IC