My client a leading investment bank is seeking a quantitative developer (J2SE) to play a lead function in their equity derivatives business. This role sits in the valuation services group which is responsible for real-time calculation of pricing and risk measures of all equity derivatives.
This is a senior opportunity to be the valuation service lead for equity derivatives IT at a Tier 1 investment bank. Core responsibilities include:
Lead Developer of valuation service (currently being built in risk service team).
Enhance existing calculation engine to support new instruments/products and other scenarios which require on-demand and continuous pricing.
Design valuation service to enable it to execute in and out of process which can handle multiple calculations at any given time
Work across the Equity Derivatives IT group with pricing, trade capture, risk, market making etc to ensure integration with valuations service.
You will also be responsible for:
Reconciliation of pricing and risk results achieved using the valuation service with the current production version of the analytics library.
Playing a pivotal function of the overall risk services team to deliver a strategic service-oriented platform of solutions for the business.
Core Competencies:
Hands on server-side java (J2SE) programming, concerning the leverage and integration of analytic libraries.
In depth understanding of analytics libraries
Experience in pricing equity derivatives products
Technical leadership of a small development team (2 – 3 people minimum)
Strong asset class knowledge
Advantages:
Pricing equity derivatives products in an excel environment
Working knowledge/exposure to a c#.net environment
This is an exciting opportunity to join a group that is performing very well. It is expected that you would have graduated from a red brick university with at least a 2:1 in maths physics or computer science in combination with excellent employment tenure thereafter.
