The Quant Analyst will build and enhance a cross-asset quantitative analytics library, incorporating various asset classes and methodologies while collaborating with clients and reviewing team code.
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
Top Skills
C#
C++
Excel
Git
Java
JIRA
Python
Brevan Howard London, England Office
London, United Kingdom
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