Business area introduction
The Front Office Quant area is in charge of the development of the pricing and risk models, as well as the pricing tools for Sales and trading teams. As part of the “Linear Rates, Inflation and Pricing tools” the focus of this position will be on the development of the pricing libraries for interest rates and inflation models as well as the curves library.
Key activities
- Contribute to the design, implementation and maintenance of the curves library, both in mathematical modelling and implementation ( C++ and Rust languages )
- Development of an efficient risk framework to represent the risks properly making usage of advance techniques (e.g. AD)
- Extend further the bonds analytics to do RV analytics, z-score, correlations, carry and roll down, historical analysis, hedging strategies
- Contribute to the model development of the linear rates products.
- Design and extension of the APIs for our pricing and curves libraries.
- Development and optimization of algorithms.
- Refine existing quants framework and quantitative tools to meet highest quality standards.
- Development, improvement, and maintenance of the testing process in our quantitative. libraries and tools.
- Provide mathematical and technical documentation to internal stakeholders.
- Keep up to date with mathematical and tech.
- Support to Trading, Sales and Risk areas.
What we’re looking for
- Proficiency programming skills C++ and Python.
- Knowledgeable in optimization techniques and numerical methods.
- Good Knowledge of fixed income products and valuation.
- Creative thinker, independently worker and capable to make decisions quickly, often under pressure and with limited information.
- An excellent problem solver who can contribute with innovative ideas.
- Strong interpersonal skills and a desire to work in a team environment are critical.
- Higher qualification in Computer Science, Engineering, Mathematics, Physics or relevant mathematical based degree
- Good programming skills in Rust.
- Experience in curves construction and Adjoint risk or alternative techniques desirable.
- Basic knowledge of options pricing theory, quantitative models, probability theory and stochastic processes.
What else you need to know
This role is based in our Triton Square office in London, conveniently located within walking distance from Euston Station and Warren Street Station.
How we’ll reward you
As well as a competitive salary, you’ll enjoy a benefits package that you can tailor to your needs.
- Eligible for a discretionary performance-related annual bonus
- Pension with generous contributions of up to 12.5% from Santander, depending on your own contribution and length of employment with us
- 27 days holiday plus bank holidays, with the option to purchase up to 5 contractual days per year
- Company funded individual private medical insurance
- Voluntary healthcare benefits at discounted rates such as private medical insurance for your family, dental insurance, healthcare cash plan and health assessments
- Benefits supporting you and your family, such as death-in-service benefit, income protection, and voluntary life assurance and critical illness cover
- Share in Santander’s success by investing in our Sharesave and Partnership shares plans
For more information about our wide range of benefits and family friendly policies visit our website.
Equal Opportunities
Santander are an equal opportunities employer. When we talk about diversity, we don’t just want to pay lip service. Our customers come from a wide range of backgrounds, and so do our people. It’s important to us that we create an inclusive culture where everyone counts, and we particularly welcome applications from different underrepresented groups.
For more information on our commitment to equal opportunities, please visit our diversity page.
What to do next
If this sounds like a role you’re interested in, then please apply on the link.
Due to high volume of applications we may need to close this role earlier than the advertised date, so recommend submitting an application as soon as possible.
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Top Skills
Santander London, England Office
London, United Kingdom, NW1 3AN
