Quantitative Developer - Boston, MA, United States - Analytic Recruiting Inc.

Description

Quantitative Developer Financial Institution based in Boston, seeks a versatile Quantitative Developer that will assist with building, and optimizing cross-asset pricing models, and work with a variety of trading, valuation, and risk management tools


Approx total compensation:
$300K to $350K Resumes:
Responsibilities:

• Build new and enhance current pricing and risk models for cross asset instruments and derivatives.
• Participate in the full model development lifecycle including reference data and timeseries data acquisition, system integration, testing, and release.
• Refactor and redesign existing code to improve performance and increase usefulness and maintainability.
• Conduct quantitative analysis of the current markets, trends and trading strategies. Design and build the next generation of real-time pricing, risk, and scenario analysis systems.

Experience needed· MS degree in Computational Finance, Computer Science, Mathematics, Physics or closely related degree.· 2+ years' experience in building financial models and tools in C#/C++/Java.· Knowledge of linear and non-linear products such as swaps, swaptions, Cap/Floor, contingent options, Digitals, Bonds, asset swaps, etc.· Results-driven, proactive team player with on-time delivery.· Strong trouble-shooting skills under time constraints.

Desirable Skills:

• Experience with interest rate curve building and SABR volatility model
• Experience with SQL, Python, and Excel/VBA
• Experience with ORM tool, web service, and C# GUI
• Experience with Machine Learning

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