Job Description

JobRef159242872474716
Pro Contract Direct
Don Anthony
Agency
17-Jun-2020
 

C++ Developer – 750 per day

LOCATION
London (Remote options available) 

MUST HAVE SKILLS (PLEASE NOTE THAT WE WON’T CONSIDER IF YOU DON’T HAVE ANY EXPERIENCE BELOW,
10+ Years Development Experience in C++
Good financial sector exposure 

YOU MUST HAVE EXPERIENCE IN AT LEAST ONE (PLEASE NOTE THAT WE WON’T CONSIDER IF YOU DON’T HAVE ANY EXPERIENCE BELOW, 
(Lead Quant/ Yield Curve Modelling)  OR  (FO Pricing/ Quant Development)  OR  (RATES/ FRTB rates Quant Modelling/ Quant analysis)

OTHER SKILLS (NICE TO HAVE) 
Good Mathematical and numerical skills with excellent knowledge of quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, Partial Differential Equations, Monte Carlo simulation etc.
Exposure to pricing models for interest rates derivatives including exotic and structured and hybrid products. For example, Swaps, Caps/Floors, Swaptions, CMS, Autocallables etc.
Exposure to VaR, Expected Shortfall, CVA, IMM and Risk-based margins and knowledge of regulatory initiatives such as FRTB, Libor transition would be beneficial
Proficient in code versioning tools such as GIT, SVN etc.
Experience of using Google Cloud/AWS
Good Mathematical and numerical skills with excellent knowledge of quantitative finance topics like Geometric Brownian Motion, Stochastic Calculus, Partial Differential Equations, Monte Carlo simulation etc.