Quant Developer C# Net FX IR
Quant Developer / C# Developer (Quantitative MSc PhD Mathematics Pricing Stochastic C# .Net). Global trading firm and supplier of the world’s most advanced financial trading platforms is seeking a highly numerate C# Developer with a strong academic record and experience of developing models for pricing derivatives.
As a Quant Developer / C# Developer you will join the R&D team which is responsible for designing, developing and supporting the analytics that evaluate counter-party exposures of the clearing house. Analytics include models (for pricing, Value-at-Risk, stress testing, liquidity or regulatory capital) as well as tools dedicated to portfolio management (e.g. sensitivities, risk reports, and margin adequacy). You will present findings and recommendations to the Risk Committee or to end clients and liaise with independent validators and regulators.
This Quant Developer / C# Developer role presents an excellent opportunity to work on complex and intellectually challenging systems within a highly intelligent and extremely skilled team. City based offices with a friendly and professional environment.
- Record of academic achievement to MSc or PhD level gained in Computer Science, Financial Engineering, Financial Mathematics, Applied Mathematics, Pure Mathematics, Physics or a related discipline
- Good knowledge of probability theory (including stochastic processes) and familiar with statistics (time series analysis, process estimation)
- Experience of developing models for pricing complex derivatives, ideally FX or IR products
- Strong Object Orientated C# development skills (will also consider C++ if happy to work with C# going forward)
- Excellent written and verbal communication skills
- Desirable: experience of developing Risk models such as: Historical VaR, Monte Carlo VaR, Multi-Factor Risk Models, Stressed VaR, and Liquidity Risk models; R, VBA, SQL, VN, Git, Doxygen
As a Quant Developer / C# Developer you can expect to earn a highly competitive salary (to £80k) plus bonus and benefits package.
Send your CV or call 020 7090 2595 for a confidential discussion about this Quant Developer / C# Developer opportunity.
This job was originally posted as www.totaljobs.com/job/76077605