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Info about the team
The successful applicant will join the Quantitative Analysis team responsible for building out the next-generation of analytics using the latest languages and quantitative techniques. The library is a cross-asset library written in modern C++ with auto-generated bindings in Python, Excel, C# and Java. Its pricing stack uses AAD ensuring accurate and fast risk is available automatically.
MAIN DUTIES/RESPONSIBILITIES OF THE ROLE:
- Responsible for building out the new cross asset quantitative analytics library for Brevan Howard.
- Build out the library across additional asset classes, with new products, models, trade representations, pricing, risk, and calibration methods.
- Experience in at least one of the following product areas – linear rates and/or rates derivatives
- Be comfortable communicating with and developing alongside the library clients - Portfolio managers, Strategists and the wider Risk team. Assist with gathering business requirements and working with the IT teams to assist with delivery
- Review the code from other quants on the team, with a focus on the modelling.
WORK EXPERIENCE/BACKGROUND:
Essential
- 5+ years analytics/ derivatives modelling
- 2-5 years modern C++ (20 and up), with some experience in optimising high-performance libraries
- Excellent financial mathematics, and implementation of numerical methods
- Software lifecycle management (GitHub, Jira, etc)
Desirable
- Experience modelling rates options or exotics products
- 2+ years Python or Java
- Vectorisation and AAD technologies
Brevan Howard London, England Office
London, United Kingdom
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