Description
Quant Developer/C++ Developer x 2 - Mathematical Finance, Quantitative, CUP/GPU, Grid Computing, Pricing, XVA, Risk Management, Monte Carlo, Front Office - London
A leading banking organisation are seeking to recruit 2 x strong Quant Developer/C++ Developers with a quantitative mathematical finance background to join a specialist team that form part of the core Front Office Quant Team.
The Team are responsible for XVA Pricing and Risk Management, developing and supporting Monte Carlo engines on a CPU/GPU grid.
Essential skills:
- Very strong C++ Development;
- Strong link and close liaison with the Quants
- Familiarity with large scale code development (TDD, JIRA, SVN).
- Mathematical finance (single or multi-asset class).
- Some knowledge or understanding of stochastic calculus would be a plus
- CUDA experience is desirable and can substitute for the mathematical finance requirements
Team Project include: Various Pricing projects, EMIR bilateral margining regulations, MIFID 2 Quant Library, Structured Note Quant Librar.
These are long term assignments within the bank, with initial 12 month contracts being offered and a view to roll on for 2-3 years.
C++ Developer/Quant Developer, Mathematical Finance, Quantitative, CUP/GPU, Grid Computing, Pricing, XVA, Risk Management, Monte Carlo, Front Office - London