Quantitative Analyst - C++ (v20+), Financial Mathematics, Rates/FX

London

£150,000 - £200,000 plus Bonus & Benefits

New Team/Greenfield opportunity for a leading global investment management organisation building a new quantitative analytics library. This would suit a highly experienced Quant Analyst, an implementor with expertise in C++ & Mathematics.

Skills/Experience Required:

• 5+ years analytics/modelling experience - curve building/derivatives modelling
• 5+ years modern C++ (20 and up), with experience in optimising high-performance libraries
• Excellent financial mathematics, and implementation of numerical methods
• Software life cycle management (GitHub, Jira, etc)
• Modelling experience in various asset classes - FX/Rates/Inflation
• Experience modelling path dependent products
• 2+ years Python or Java
• Vectorisation and AAD technologies

The role

• Responsible for building out the new quantitative analytics library.
• Build out the library across additional asset classes, with new products, models, trade representations, pricing, risk, and calibration methods.
• Focus on building out the FX/Rates aspects of the library - curve and vol surface construction through to exotic trade analytics
• Work closely with the clients of the library, assisting with gathering business requirements, assisting desk strategists that use the library, and working with the IT teams to assist with model delivery.
• Review the code from other quants on the team, with a focus on the modelling.

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