Quantitative Analyst, Front Office (Calypso)
Core
Design, implement, and productionize pricing and risk models for global trading desks across multiple asset classes.
Role type
Senior IC quantitative analyst (derivatives pricing & risk)
Builds
Production-grade pricing, risk, and XVA models for financial institutions
Domain
Financial services / Derivatives analytics / Computational finance
Deliverable
production ML models | product features
Required skills
Stochastic calculus, numerical methods (Monte Carlo, PDE, finite difference), derivative pricing theory, Java/C++/C#, vectorization, parallel compute, adjoint sensitivity techniques
Preferred skills
Algorithmic differentiation libraries, XVA/regulatory capital frameworks, initial/variation margin calculation engines, applied ML/AI (PyTorch, JAX, scikit-learn), cloud-native development
Technologies
Java, C++, C#, PyTorch, JAX, scikit-learn
Responsibilities
Develop and maintain pricing, risk, and XVA models across rates, FX, credit, equity, and commodities; Translate mathematical specifications into high-performance production code; Partner with clients' quantitative analysts and traders to calibrate and validate models; Collaborate with Engineering teams on performance optimization; Contribute to AI/ML initiatives for model acceleration and anomaly detection
Seniority
Senior, hands-on IC
