Senior Quant Analyst Developer / Architect - Millar Associates (Liverpool)

Employment Type

: Full-Time


: Information Technology

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  • Redesign and develop a robust and scaleable multi-asset derivatives valuation model library
  • Redesign the architecture and framework for FO analytics which use the model library for pricing, risk monitoring and hedging, and P&L
  • Establish programming standards and best practices and perform peer code review
  • Set up continuous integration framework for seamless delivery of models to production and FO applications
  • Establish robust regression and testing framework for models and FO analytics
  • Introduce up to date technology stack related to models and FO analytics to the bank

  • At least five years' software development experience, preferably as a quant or quantitative developer working on a large derivatives model library
  • Exceptional C++/C++11 skills and awareness of C++14 and C++17 with strong capacity of abstraction and design
  • Good knowledge of one of the main asset classes such as rates derivatives, equity derivatives, etc.
  • Development experiences in Monte Carlo simulation and numerical PDE
  • Significant experiences of development on both Linux and Windows platforms
  • Strong communication and interpersonal skills and a team player
  • Ability to work well in a fast-paced environment with changing priorities

  • Advanced degree in Software Engineering, Computer Science, Quantitative Finance, Mathematics, or other quantitative disciplines

  • Associated topics: application developer, back end, c, design, design pattern, expert, lead, maven, php, senior software engineer

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