Our client is a leader in web-based portfolio management tech and outsourced services across the investment management and trading functions. They offer a browser-based client service driven by a significant AWS deployment leveraging the firm’s renowned quant analytics library with a cloud-based SaaS application suite.
In this role you’ll be working to develop their C# derivative pricing library and produce code for running the library in a distributed manner.
You will enjoy exposure to cross-asset derivatives across: FX, interest rates, equities, credit & commodities. They are now significantly increasing capacity and performance and this represents an incredible time to join a rapidly growing business with strong institutional backing and a great proven track record in delivering world leading portfolio management services.
Hosted on Linux in AWS
Messaging via Redis
GitLab for Source Control, CI/CD and issue tracking
To develop and enhance the C# derivative pricing library as well as code for running the library in a distributed manner.
Work may include derivatives across: FX, interest rates, equities, credit or commodities portfolios
Build new features eg historical analysis, factor models, screening
Support for user preferences
KEY SKILLS & EXPERIENCE:
5-10+ years’ of experience developing applications in C# with good knowledge of coding fundamentals
Knowledge of the standard pricing models eg Black Scholes, sensitivities, with a strong understanding of derivatives in at least one asset class
Experience working with interest rate curves, vol surfaces and other market data
Great communication skills and the ability to work as part of a team & build consensus around a design
Ability to explain complicated concepts with ease
Job Title:Quant Developer (C# ) – Pricing Library Development