Equity Derivatives Quant Developer - HSBCJP00049535

Job Title: Equity Derivatives Quant Developer

Location: London

Working Model: Hybrid, travel at least twice a week in the office can be required

Duration: initial contract till the end of the year (2024) with further extensions applicable

Daily Rate Available: up to £960 - £1050 (depending on experience)

Inside IR35 via Umbrella: Paystream, Danbro, Focused

ROLE DESCRIPTION

Equity Derivatives Quants (a division of Global Banking and Markets) are looking for a C++/Python developer specialising in Structured Equity Derivatives. The candidate will be expected to:

Assist the design and implementation of pricing, risk and P&L infrastructure surrounding the core pricing libraryAssist the Quantitative Modellers to develop the core pricing libraryDevelop the Quantitative tooling required to support the platform

The role will cover the following agendas:

Delivery of the calculation infrastructure required for FRTB IMA regulatory reportingDesign and development of end-of-day risk and P&L calculations allowing the retirement of the legacy vendor platformDesign and development of intraday risk and P&L calculationsDesign and development of market data marking pipelinesThe candidate should expect to have day-to-day interactions with the trading desk, other quants, the Risk and Finance departments, and technology teams. While the role is London based, the team and clients are located globally with presence in London, Paris, Hong Kong and Bangalore. Occasional travel may be required.

Essential Experience Required

3-7 years working as a Quantitative Analyst developing models in quantitative finance, IT development, or a trading environmentA degree in mathematical finance, science or maths from a top tier universityKnowledge of the standard pricing models used in the investment banking industryTwo or more years C++ experience (preferably using Visual Studio 2017)Two or more years Python experience required

Additional Experience / Qualifications Preferred

Background in stochastic processes, probability and numerical analysis. Physics, Engineering or similar subjects is desirable, but not strictly required.Experience of data analysisKnowledge of the main instruments used in Equities and Equity DerivativesKnowledge of instrument pricing, sensitivity calculations, P&L prediction, P&L explain, VaR, ES and other risk measures.Knowledge of distributed computing and serialisation techniquesGood knowledge of Excel.Previously experience with CI/CD pipelinesAbility to work in fast-paced environment with proven ability to handle multiple outputs at one time