Quantitative Developer - Finance - Contract - London
A unique international financial institution is seeking C++/C# Quantitative Developer to join their London analytics team which is responsible for developing the IT infrastructure and interfaces in addition to facilitating the implementation and support of the quantitative models. The successful candidate will help develop the XVA platform and in particular the IT structure around the quantitative models.
- Development of the interfaces for the in-house pricing library using C++,C#, Python, XML, JSON and SQL
- Assist with development, maintenance and enhancement of bespoke applications used as decision making tools
- Develop the infrastructure for grid computing and batches in addition to workflow design
Key skills and experience:-
- XVA experience is a essential requirement for this role.
- Good understanding of financial products such as interest rates, foreign exchange, equity and credit derivatives and their joint modelling
- Knowledge of trade repository development, QuantLib or other pricing libraries
- Good understanding of risk management and portfolio valuation techniques (e.g. VaR, sensitivities, CVA / DVA, FVA…)
- Experience of XVA
- Front office quant development
For more information apply with an updated CV today!