Financial Engineer

Two Financial Engineers for the models and quantitative data team at a global trading and risk SaaS vendor. It is the earlier-career route into the same work as the quant developers: pricing models and real-time market risk across every asset class, written in high-performance C++. Real exposure to the hardest problems in finance, alongside people who solve them every day.

The work

Two hires into the London models and quantitative data team, working on the same problems as the quant developers at an earlier stage of your career. You'll help design, build and test the models that value financial positions, construct datasets such as curves, volatility cubes and correlation matrices, and calculate market risk, VaR and greeks, in real time across equity, credit, FX, fixed income, commodities, crypto and their derivatives. It suits a strong quantitative programmer who wants to get into some of the most complicated problems in finance and is happy outside their comfort zone. The role is London-based, four days a week in the office. Remote working is not possible.

What you'll be doing

• Design and build models for pricing positions and calculating market risk metrics across asset classes and their derivatives
• Write modern, high-performance C++ that is clean, reusable and well tested, built for large-scale distributed systems on a grid computing platform
• Use Python, SQL and Snowflake to analyse, construct and validate model inputs
• Document methodologies to support internal and external model validation and compliance

What you'll need

An MS or PhD in mathematics, physical sciences or engineering is preferred.

• Strong C++ and program design on large-scale, data-intensive products
• Strong quantitative foundations: numerical methods, linear algebra, PDEs, probability and statistics
• A strong understanding of financial derivatives, market conventions and how they are implemented
• Hands-on work with yield curves (OIS, Libor, cross-currency), inflation curves, volatility surfaces and interest rate volatility cubes, ideally live or intraday
• Python, Java and SQL alongside C++
• Risk tooling experience, such as VaR, Monte Carlo, scenario analysis and P&L, is a plus

What happens next

We start with a confidential conversation to walk through the team, the models and the problems you would be working on before anything moves forward.