Description
Quantitative Developer - Quant, Developer, Analyst, C++
General:
- Knowledge of Risk and Treasury management and developments in Money- and Capital Markets.
- Knowledge of the relevant processes of the whole value chain regarding the asset class (Risk, OPS, COO, Legal, Finance).
- Knowledge of mathematics and statistics at University Graduate level. Minimally a Master's degree in Mathematics, Physics, Econometrics, Aviation Technology or similar degrees;
- Knowledge of option valuation models and financial mathematics;
- Knowledge of programming languages preferably C++/C and Visual Basic for Applications (VBA).
- 7 or more years of work experience.
- Knowledge of all systems employed within Markets for the valuation and risk management of derivatives
Job deliverables
- Implementation and programming in C++ (or any other applicable programming language) within the existing Common Analytics Library (CAL) framework or within the Dolphin library for foreign exchange (FX)
- Testing and interpretation of model output (valuation, delta and vega profile).
- Present the model to the Model Validation Team within the Risk Department. Actively pursue model sign-off.
- Integrate the CAL C++ code with the various systems (Excel/VBA spreadsheets, Murex, Goldfish, Sophis, Spring). Ensure the functionality is distributed to end users.
- Delivers, based on Market data requirements database(s), reports, communication tools and Market Data Services to be used by Trading and Sales
- Create SQL databases to facilitate user queries.
- Set up daily reports related to model valuations.
- Transform option market data into volatilities.ks
- Roll-out of CAL (Common Analytics Library) at Markets clients, based on CAL and component(s) delivered by Quantitative Analysis to be used by Trading and Markets Sales.
- Provide initial training to clients during deployment.
Our client in the Netherlands are recruiting for a Quantitative Analyst/Developer to join them on an extendable 6 month contracting position.
Minimum required language knowledge (speaking+writing):
- English