CAREERS

Info about the team

The successful applicant will join the Quantitative Analysis 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 auto-generated 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:

• Responsible for building out the new cross asset 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.
• Experience in at least one of the following product areas – linear rates and/or rates derivatives
• Be comfortable communicating with and developing alongside the library clients - Portfolio managers, Strategists and the wider Risk team. Assist with gathering business requirements and working with the IT teams to assist with delivery
• Review the code from other quants on the team, with a focus on the modelling.

WORK EXPERIENCE/BACKGROUND:

Essential

• 5+ years analytics/ derivatives modelling
• 2-5 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

• Experience modelling rates options or exotics products
• 2+ years Python or Java
• Vectorisation and AAD technologies