Equity Derivatives Quant Developer (Associate)

The team works closely with the trading desk to provide cutting-edge valuation and risk management solutions, and with IT to build strategic technology platforms for the bank. They are responsible for quantitative models and analytics used in the Equity Hybrid Structured Products and QIS business.

Responsibilities:
• Establish a new strategic Python pricing framework utilizing the C++ quant library to achieve flexible and efficient analysis of trades and models.
• Perform analysis of trades and financial models in collaboration with Trading and Structuring.
• Provide technical support for the use of the quant library in production; investigate production issues in cooperation with stakeholders such as Trading and IT.
• Research, implement and document new models and numerical methods to improve risk management of structured and cross-asset products.
• Work with exotic derivative payoffs written in a DSL - read, write, test, analyse the scripts.
• Improve and expand the C++ quant library and risk engine (e.g. further optimization of pricing engines written in CUDA).

Requirements:
• Masters or PhD in Mathematics/Computer Science or related quantitative field.
• Strong Python and C++ programming skills.
• Previous exposure to derivative pricing and modelling, especially in exotic equity derivatives.
• Experience in development and support of derivative pricing tools.