Core Quant Dev Analytics - C++ - VP/ED level

£120,000 – £200,000 perfomance based bonus

Location: United Kingdom (London – London) Type: Permanent

Core Quant Dev Analytics - C++ - VP/ED level

London based

Our client spends more than $9 billion a year to be at the forefront of technological innovation. Leveraging petascale compute clusters, they develop and maintain sophisticated mathematical models, cutting-edge methodologies and infrastructure to value and hedge financial transactions ranging from vanilla flow products to high- and low-frequency trading algorithms.

They are looking for a new member to join a core Quant team focusing specifically on high performance computing.

Responsibilities:

• Developing in a C++/CUDA/Python software library that prices derivatives and calculates risks;
• Focus is on efficient algorithms, vectorization and parallelization, compilers, architecture of cross-asset pricing engines, core library frameworks and continuous integration infrastructure;
• Optimization of the code for specific hardware, from today's production staples to future disruptive innovations;
• Support of end users of the library and communicating with desk-aligned quant teams and technology groups.

Requirements:

• A postgraduate degree (preferably PhD), or equivalent, in a quantitative field, e.g. computer science, mathematics, engineering, physics, or finance;
• Excellent software and algorithm design and development skills, particularly in C++
• Outstanding problem solving skills;
• Basic understanding of numerical methods, probability and foundations of quantitative finance to ensure that detailed model knowledge can be picked up if required.

Preferred:

• Experience in parallel programming, e.g. TBB, OpenMP, CUDA or OpenCL;
• Python, Java, Perl and web programming skills;
• Previous work experience as a software developer or a quant.

Reference: AMC/JME/CA123