Linear Rates Quant Developer

Job Description

We have a current opportunity for a Linear Rates Quant Developer on a permanent basis. The position will be based in London. For further information about this position please apply.

Key contributor to new e-trading platform buildout effort, leading the implementation of pricing and

curve construction analytics in C++20. Developed market-making models in collaboration with traders. Play a

central role in specifying and designing tooling and diagnostics for live solvers, RFQ pricing and risk. Partner

with the Head of FICC E-Trading Engineering on the architecture design for low-latency systems leveraging fast

optimizers and algorithmic automatic differentiation (AAD).

 Develop and maintain yield curve modelling frameworks for pricing and risk management of linear

interest rate products (swaps, bonds, futures) and cross-currency swaps.

Engage in strategic discussions with senior management and business leaders to enhance international hiring,

reduce operational risk, and streamline global support for the fixed income e-trading business. Successfully lead

desk projects in collaboration with North American teams.

 Initiated extensive revamps of existing Excel-based legacy front-office tools, driving their migration to modern

web-based applications to enhance efficiency, scalability, and usability.

 Engaged with IT, local application support, and InfoSec teams to diagnose and optimize the latency and

computational performance of 's analytics on traders' desktops and servers.

Join a small team of Quants/Developers in the greenfield implementation for a new exotic rates pricing library with

full accountability for project planning, the definition of the project scope, trading desk requirements and

stakeholder engagement as part of the global markets division's drive to expand exotic interest rate derivatives

revenue.

 Implement local volatility multi-factors short rate model (qGM) that used parallel Monte Carlo

simulation, pathwise differentiation (AAD) for fast Greeks calculation.

 Deploy GM pricing tools in web-based application, excel and Murex. Promoted the use of Python as a

prototyping tool for to replace Excel sheets within the desk.

 Actively participate in cross-functional meetings, providing insights and strategic recommendations on

leveraging AI technologies. Spearheaded initiatives including:

 Utilize AI-powered coding assistants for intelligent code completion, syntax validation, and error

detection, enhancing development efficiency and code quality.

 Application of Tensor Neural Networks for pricing complex financial derivatives such as Bermudan

Swaptions, improving accuracy and computational efficiency

To find out more about SThree, please visit www.sthree.com

SThree Partnership LLP is acting as an Employment Business in relation to this vacancy | Registered office | 8 Bishopsgate, London, EC2N 4BQ, United Kingdom | Partnership Number | OC387148 England and Wales