Quantitative Developer (C#)

  • Negotiable
  • London, England, United Kingdom
  • Permanent, Full time
  • Charles Levick
  • 27 Mar 17

Leading financial firm, require C# Quant with valuation/pricing model expertise (financial modelling).

My client are a leading Financial Data & Technology firm looking for an experienced Quant Analyst/Developer with expertise in C# to join the team.

This role will involve the design and development of OTC valuation models and work closely with the development team to integrate these analytics within the main valuation infrastructure for a broad range of OTC derivatives products across equity, credit, interest rate, commodities and foreign exchange markets. This is an opportunity for a quantitative developer with development experience and knowledge of derivative pricing models for both vanilla and exotic derivatives. The suitable candidate will be a highly-motivated problem solver with strong financial engineering and technical development skills. He or she must be articulate verbally and in written communication. Because the selected candidate will be part of a global team, the ability to work closely with others in a virtual workplace environment is essential.

Main Responsibilities

This is an opportunity for an individual with a strong quantitative finance and software development background.

* Design, development and maintenance of several proprietary analytics libraries that drive our valuation engines across multiple applications.

* Implementation of financial models that range from the simplest models to the more sophisticated analytics methods, according to business requirements. For this reason, the candidate will be required to prove a strong ability for independent research at a mathematical level as well as a high level of analytical rigour and attention to detail.

* Participate in all phases of system development including algorithm design, back testing, integration with other applications and production deployment. This role requires past experience with C# as well as C++ programming, as it involves development of interfaces to the core C++ analytical library where the models are implemented. Model validation, including testing the model at its fundamental level and pricing real-world trades to ensure that the model produces the correct valuation, is a core part of this role.

Candidate Profile

* Advanced degree (Masters or PhD) preferred in Mathematics, Physics, Engineering, Computer Science, Finance or a related discipline
* Experience in C# development tools and high-level object-oriented programming.
* Experience in C++ will also be considered valuable, although must have strong level of C#.
* Experience with a cross section of derivative products including foreign exchange, interest rate, credit and equity derivatives. Experience in fixed-income analytics (mortgage, bonds, …) will be a plus but not the only determinant.
* Strong Excel capabilities with tracked experience in XLL add-in development
* Java programming experience would be a plus but not mandatory.
* Self-motivated and quick-learning professional able to address complex technical challenges, and produce high quality solutions in an efficient and timely manner
* Excellent communication, organizational and people skills