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Market Data and Flow Derivatives Quant

Information About This Job

Job Title: Market Data and Flow Derivatives Quant
Contract Type: Permanent
Location: London
Contact Name: Ben Kinley
Contact Email:
Job Published: 12 months ago

Job Description

About The Role

The company’s Cross-Asset Derivatives Quant Team is responsible for modelling, implementing and deploying derivatives pricing models across all asset classes (FX, Equity, Rates, Commodity, Credit) to the entire suite of products and services, including its terminal with 300,000+ clients, trading system solutions, enterprise risk management, and derivatives valuation service. The group ensures that state-of-the-art models driven by high quality market data are brought together in robust, fast and accurate implementations that keep the company at the cutting edge of derivatives analytics.

The team seeks a Quant experienced in the practical implementation of front office derivatives pricing models and data modelling. Experience in Equity and/or Credit is preferred. You will participate in the full life-cycle of quantitative development ranging from model research, prototyping, production implementation, deployment and ongoing maintenance, as well as interaction with internal and external clients.


Key Responsibilities

  • You will be designing algorithms for the automatic and statistical validation of market data, both from exchanges and from contributors, their aggregation into composite sources

  • Calibration of curves and volatility surfaces, interpolation and extrapolation of data, creation of proxies

  • Research, implementation and maintenance of models for pricing flow and moderately exotic equity instruments

  • You will take ownership for documenting and communicating these findings to internal and external clients as necessary.


Skills & Experience

  • 3+ years of experience in financial modeling and knowledge of market conventions and practices.

  • Hands-on implementation experience (C/C++ required, Python optional) and best practices in software development, including version control, unit and regression testing.

  • Strong knowledge of mathematical finance and of numerical techniques employed in derivatives pricing models.

  • Strong team-player comfortable in a multi-developer environment with interactions with quants, IT groups and product managers.

  • Good oral and written communication skills.

  • Ph.D in a technical discipline (mathematics, finance, physics, engineering or similar field).


Company Benefits & Culture

The company is permitted to diversity. You will have the opportunity to go above and beyond and to take risks. You'll be a part of an organization that is entering new markets, launching new ventures, and pushing boundaries. The company’s ever-expanding array of technology, data, news, and media services fosters innovation and empowers clients -- and offers nearly limitless opportunities for career growth.


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