CAREERS

We have an exciting opportunity for a Quant Analyst to join the Quantitative Engineering team responsible for building out the next-generation of analytics using the latest languages and quantitative techniques. The library is a cross-asset library written in modern C++ with bindings in Python, Excel, C# and Java. Its pricing stack uses AAD ensuring accurate and fast risk is available automatically

MAIN DUTIES/RESPONSIBILITIES OF THE ROLE:

Essential Responsibilities:

• Responsible for building out the new quantitative analytics library for Brevan Howard.

• Build out the library across additional asset classes, with new products, models, trade representations, pricing, risk, and calibration methods.

• Build out the linear rates configurations across additional markets improving the models as required.

• Work closely with the clients of the library, assisting with gathering business requirements, assisting desk strategists that use the library, and working with the IT teams to assist with model delivery.

• Review the code from other quants on the team, with a focus on the modelling

PERSON SPECIFICATION
WORK EXPERIENCE/BACKGROUND:
Essential

5+ years experience in interest rate derivatives modelling, esp models such as SABR

Experience modelling light exotic products such as MidCurve swaptions, CMS, CMT.

5+ years modern C++ (20 and up), with some experience in optimising high performance libraries

Excellent financial mathematics, and implementation of numerical methods

Software lifecycle management (GitHub, Jira, etc)

Desirable
Modelling experience in other asset classes.
Experience modelling path dependent products.
Experience with swap and bond curve fitting.
Vectorisation and AAD technologies

2+ years Python or Java