Quantitative Developer - Derivatives
Core
Design and implement high-performance numerical algorithms for pricing and risk, building and improving models that reflect real market behavior for live derivatives pricing and risk systems.
Role type
Senior IC quantitative developer (derivatives pricing & risk)
Builds
Core components of the firm's pricing library (models, calculation graphs, central infrastructure) for HFT market making systems
Domain
Financial services, derivatives, options, volatility, fixed income, ETFs, FX
Deliverable
production ML models | product features
Required skills
Derivatives pricing (options, volatility), C++, Java, numerical algorithms, PDE methods, numerical analysis, system design, collaboration with quants
Preferred skills
PDE methods, numerical analysis (stability, convergence, error propagation)
Technologies
C++, Java
Responsibilities
Design and implement high-performance numerical algorithms for pricing and risk; Build and improve models balancing accuracy, stability, and latency; Own core components of the pricing library; Work closely with quants and engineers to ensure models are robust and production-ready; Contribute across the full lifecycle from research to performance optimization; Write clean, maintainable production code
Seniority
Senior, hands-on IC
