Quantitative Analyst/Developer

Outsource UK Ltd
London (Greater)
13 Apr 2018
20 Apr 2018
Contract Type
Full Time

My client, a leading Financial Organisation is looking for a Quantitative Anayst/Developer to work in the front office Quantitative Research team, aligned to the Rates and FX product development.


The ideal candidate will develop code within the production in-house C++11 quant library. The candidate will have continuous interaction with the rest of the quant team, as well as front-office trading, project management and IT.


Candidates will have strong design skills and a solid mathematical grounding; they will be able to propose and implement simplifications and enhancements to existing algorithms and designs. The successful candidate will be able to take an architectural software engineering view of the project, the library and the operational environment.

The requirements for this role are:

* Strong practical software engineering, design and C++ coding background
* Sufficient quant finance to appreciate the computational requirements of various pricing algorithms

* Quantitative Finance knowledge at least at one bank
* Basic stochastic calculus
* Basics of numerical PDE solvers
* Basics of Monte-Carlo
* Some understanding of early exercise by regression (g. Longstaff-Schwartz).

* Understanding of market data requirements and calibration
* Appreciation of quant library architecture
* Appreciation of the operational environment in which the library is used
* Strong financial derivatives product knowledge

The particular attributes we are looking for include:

* 7y+ experience working as quantitative analyst or quantitative developer in a large quant library within a major financial institution; in particular, strong adherence to development practices within a tight model governance framework
* Exceptional C++ and an interest in modern features and the development of the language
* Excel/VBA, Python, C# or Java would be a plus
* Strong capacity for code abstraction and design skills
* Extensive experience working with an object oriented code base for the creation of market data objects, instruments and pricing engines
* Mathematically-based education at least to degree-level (e.g. Maths, Physics, Engineering) with solid understanding of calculus and linear algebra and some knowledge of stochastic calculus

* A PhD would be a plus, or at least a Masters degree, CQF or similar qualification with focus on mathematics, theoretical physics or computer science

* Strong product knowledge of derivative products with a focus on Rates and FX; knowledge of inflation, commodity and equity derivatives would be a plus
* A fast learner who can quickly become autonomous and take projects forward
* A dynamic attitude with an ability to easily switch from one project to the other as priorities might change along the way and the overall quant team works in a very collaborative way
* Strong attention to detail as accuracy is of the essence in such a role
* A team player

If you are a Quantitative Analyst/Developer looking for a new contract opportunities either apply online or if would like to find out about other IT/Financial Services opportunities please contact Rita Sousa on (Apply online only) or email (url removed).

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