Snr Pricing Quant Developer, C#, Portfolio Management System, London Snr Pricing Quant Developer, C#, Portfolio  …

Millar Associates
in Longton, England, United Kingdom
Permanent, Full time
Be the first to apply
To £150K + Bonus
Millar Associates
in Longton, England, United Kingdom
Permanent, Full time
Be the first to apply
To £150K + Bonus
Posted by:
Craig Millar • Recruiter
Posted by:
Craig Millar
Recruiter
Our client provides leading Hedge Funds, Asset Managers & Banks with portfolio management services including live risk and P&L, pre-trade pricing and scenario analysis. With 200 staff across London, Hong Kong, New York, they offer a browser-based client service driven by a significant AWS deployment leveraging the firm’s renowned quant analytics library with a cloud-based SaaS application suite.

You will develop their C# derivative pricing library and produce code for running the library in a distributed manner. You will enjoy exposure to cross-asset derivatives across: FX, interest rates, equities, credit & commodities. The now seek to significantly increasing capacity and performance and this represents an incredible opportunity to join a rapidly growing business with strong institutional backing and a great proven track record in delivering  world-leading portfolio management services .

C#, Derivatives Pricing, Library Analytics, Portfolio Management System, Curves, Vol surfaces

KEY RESPONSIBILITIES:

  • To develop and enhance the C# derivative pricing library as well as code for running the library in a distributed manner.  
  • Work may include derivatives across:  FX, interest rates, equities, credit or commodities portfolios
  • Build new features e.g. historical analysis, factor models, screening
  • Support for user preferences

KEY SKILLS & EXPERIENCE:

  • 5-10+ years’ of experience developing applications in C# with good knowledge of coding fundamentals
  • Knowledge of the standard pricing models e.g. Black Scholes, sensitivities, with a strong understanding of derivatives in at least one asset class
  • Experience working with interest rate curves, vol surfaces and other market data
  • Great communication skills and the ability to work as part of a team & build consensus around a design
  • Ability to explain complicated concepts with ease

(By way of background, their stack is comprised of C# .NET Core 3.1 services which call into a proprietary C++ quant library and present results via a React frontend. Hosted on Linux in AWS with large calculations distributed over many instances, messaging via Redis. Source control, CI, CD and issue tracking are all done in GitLab.)

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