Software Developer - Quant Infrastructure

8 - 10 years experience  • 

Salary depends on experience
Posted on 05/24/18
New York, NY
8 - 10 years experience
Salary depends on experience
Posted on 05/24/18

The Developer will be working within a team of 50 or so Quantitative Analyst and Computer Scientist professionals developing software libraries; implementing numerical analysis applied to the valuation and risk management of derivative securities. So you’ll need to be fluent in practical mathematics, experienced at software design & implementation and have effective communication and interpersonal skills.

You’ll need to have:

  • An advanced degree in Mathematics, Physics, Engineering or Computer Science
  • Exceptional C++ (11/14/17) skills and intimate familiarity with STL (structures and algorithms.
  • Extensive experience (7+ years) in design and implementation of high performance multi asset derivatives pricing library frameworks.
  • Knowledge of derivatives models, numerical methods and experience with Monte Carlo and PDE frameworks.
  • "At home" on both Linux and Windows and working experience with Visual Studio/gcc/clang, git and systems administration.
  • Competent in scripting and shell skills (e.g. Python, bash)
  • Outstanding oral and written interpersonal skills
  • Advocate for Continuous Integration, testing and modern software engineering practices (including peer reviews and technical documentation)
  • Self-reliant collaborator who loves sharing knowledge, helping people and interacting with others;
  • An exhibitor of attention to detail, someone who strives for perfection but knows when and how much to let go when circumstances demand

We'd love to see:

  • Knowledge/experience with Google Protocol buffers
  • Understanding of concurrency in C++
  • Exposure to cluster/grid computing
  • Experience in symbolic computation and/or functional programming (or a desire to learn)
  • Experience with algorithmic differentiation

64679

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