Our client provides leading Hedge Funds, Asset Managers & Banks with portfolio management services including live risk and P&L, pre-trade pricing and scenario analysis. With 200 staff across London, Hong Kong, New York, 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.
You will 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. The now seek to significantly increasing capacity and performance and this represents an incredible opportunity to join a rapidly growing business with strong institutional backing and a great proven track record in delivering world-leading portfolio management services .
C#, Derivatives Pricing, Library Analytics, Portfolio Management System, Curves, Vol surfaces
KEY RESPONSIBILITIES:
- 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 e.g. 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 e.g. 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
(By way of background, their stack is comprised of C# .NET Core 3.1 services which call into a proprietary C++ quant library and present results via a React frontend. Hosted on Linux in AWS with large calculations distributed over many instances, messaging via Redis. Source control, CI, CD and issue tracking are all done in GitLab.)
