Lead - Software Engineer - QUANTS
Core
Design, implement, and productionize pricing and risk models for trading desks across FX, rates, equities, credit, and commodities.
Role type
Senior quantitative analyst (derivatives analytics)
Builds
Production pricing, risk, and XVA models for global financial institutions
Domain
Financial services / Derivatives analytics
Deliverable
production ML models | product features
Required skills
C++ (modern C++17/20), Python, stochastic calculus, numerical methods (Monte Carlo, PDE, finite difference), derivative pricing theory, Git, CI/CD
Preferred skills
AAD / algorithmic differentiation, XVA/SIMM/FRTB engines, ML/AI for pricing (PyTorch, JAX), cloud-native development (AWS/Azure/GCP, Kubernetes)
Technologies
C++, Python, Git, CI/CD, PyTorch, JAX, scikit-learn, AWS, Azure, GCP, Kubernetes
Responsibilities
Develop and maintain pricing, risk, and XVA models; Translate mathematical specifications into high-performance production code; Calibrate and validate models with clients; Partner with engineering on performance optimization; Contribute to AI/ML initiatives for model acceleration; Write technical documentation and defend methodology in validation reviews
Seniority
Senior, hands-on IC
