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Senior Cross-Asset Derivatives Quant Analyst in New York, NY



$80K - $100K*


Data Science & Machine Learning


Less than 5 years

Job Description

The group seeks a quant library developer with significant experience designing and implementing large scale software in C++, specific to developing a cross asset library for exotic derivatives pricing. You will participate in many stages of quantitative library development ranging from prototyping, production implementation, deployment and ongoing maintenance, as well as interaction with clients.

We'll trust you to:

  • Implement and integrate derivatives pricing models in the existing in-house cross asset C++ derivatives pricing libraries
  • Improve accuracy and performance of existing pricing engines
  • Document and communicate findings to internal and external clients as necessary

You'll need to have:

  • Ph.D in a technical discipline (mathematics, finance, physics, engineering or similar field) required
  • 1-5 years of extensive C++ experience is required
  • Strong practical knowledge of numerical techniques employe
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Valid through: 2020-4-9

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* Ladders Estimates