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