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Quant Developer

Remote, Canada · Banking/Loans
Your Future Team
Quantitative Development Group is part of Global Capital Markets (GCM) Engineering Team, which provides technology and analytics solutions for GCM front office and enterprise risk teams.
About the role
You will bridge the gap(s) across financial engineering, technology, and business by developing and supporting our derivatives pricing library, which has decades of flawless service: a true gem!
We want to hear from you today if you can
  • Build and support derivatives pricing models and analytical libraries
  • Improve capabilities for trading and risk management of derivative products
  • Design and optimize the analytics library and its integration with IT tools, processes, and databases
  • Provide expertise on quantitative aspects of derivatives product pricing across multiple asset classes
  • Our customers include Global Capital Markets (GCM) Front Office, Market Risk (including stress runs), and Variable Annuity business
  • will consider remote or hybrid candidates

 Whom we are looking for:
  • Advanced degree in STEM (candidates with bachelor’s degree will be considered depending on experience)
  • 5+ years of related experience (preferably in a production quant or quant developer setting)
  • Aptitude to acquire new expertise in derivatives pricing and mathematics, and combine it with best-in-class engineering principles to build a working solution
  • Good understanding of numerical methods, linear algebra, real analysis and stochastic calculus
  • Experience with statically typed object-oriented languages (C++, Pascal/Delphi, C#, Java; C++ preferred)
  • Experience with non-exotic interest rate derivatives and/or interest rate curve building is desired
  • Basic to intermediate relational database experience (Oracle and PL/SQL preferred)
  • Knowledge of the following tools and technologies is not required, but may boost your application: Visual Studio, Github, C++ XLL interface, Python, PyBind, AWS

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