Quantitative Finance Developer

Offer by Brock & Decker





Essential Responsibilities:

  • Write code from a detailed model specification.
    Significant focus will be on the implementation of asset models and pricing routines according to mathematical specifications.
  • Test code.
  • Check business logic of models and software structure.
    A basic understanding and feel for financial modelling is important in being able to craft appropriate business logic.
  • Assist with the continuous improvement of the automation of model testing and estimation processes.
  • Rewriting existing code to optimize performance.
  • Making recommendations for future development of the modeling platform to solve problems relevant to our target markets.
  • Development of estimation and recalibration tools.
  • Requirements:

  • Five years of experience in development of production level software.
  • Formal education in economics, finance, or mathematical sciences.
  • Experience with programming financial or mathematical procedures.
  • Ability to understand the basics of continuous time finance theory is essential.
  • Working knowledge in some of the areas of econometrics, probability and statistics, stochastic processes, optimisation theory, differential equations, and numerical analysis is required.
  • Basic understanding of financial markets including fixed income, credit, equity, inflation and derivatives.
  • Experience with Lab Manager,
  • Strong problem-solving skills and an interest in understanding and modeling real world phenomena is fundamental.
  • Self-starter who can work and learn independently as well as being able to carefully execute detailed instructions.
  • Ability to work effectively in a project and deadline-oriented position.
  • A strong interest in software development and experience with some programming languages such as julia, Python, C, C , Fortran, or Matlab.
  • Experience of UI design and implementation is an advantage.
  • Previous experience with Economic Scenario Generators is an advantage.
  • Language skills: English.
  • A new version is available REFRESH