FO EQ/FI Quantitative Developer/Analyst
Core
Design, implement, and test valuation models and pricers for Global Markets derivative products to assess risks and support pricing and risk hedging activities.
Role type
Senior Front Office Quantitative Developer
Builds
Valuation models, pricers, and digitalized derivatives business solutions for Global Markets desks
Domain
Financial services, Global Markets, Derivatives
Deliverable
production ML models | product features
Required skills
C++ (OOP, STL, templates), Financial mathematics, Derivative valuation (Interest Rate, Equity), Multiplatform development (Windows/Linux), CI/CD pipelines, Software development lifecycle
Preferred skills
Credit/FX/Inflation derivatives valuation, Cloud technologies (AWS/Azure), Murex platform, Python, High-performance computing (GPUs, vectorization)
Technologies
C++, STL, Templates, Visual Studio, Linux, Jenkins, Git, Docker, gRPC, Protocol Buffer, Boost, Murex Flex API
Responsibilities
Design and implement valuation models and pricers for derivative products, Lead digitalization of the derivatives business, Optimize technical solutions for efficiency and performance, Coordinate deployment of models with Engineering and Risk areas, Support trading floor daily activity
Seniority
Senior, hands-on IC