Greenfield IR/Vol Library Quantitative Developer (Python) - New York
A Multi-Strategy, Multi-Manager Hedge Fund is looking to expand their core engineering teams. More specifically due to the fixed income divisions profitability the fund has just gotten the approval this year to buildout an IR/Vol library from scratch. As a result, they are urgently looking to hire a seasoned Rates Developer (in Python Programming to help getting the system of the ground).
- Design and implement new pricing system for interest rate derivatives in Python
- Coordinate with the CTO, Head of Quants and relevant PM's to ensure the greenfield system aligns with the businesses core PnL/technology based needs
- Build tools and API's to assist the Vol PM's
Ideal candidates should possess:
- 5-10 Years of hands on Python Library Quant Development experience
- 5+ years of experience supporting an interest rates trading desk on either the buy-side or sell-side
- Expertise in Python Programming
- Passion for system design, programming, CUDA, GPU and all things technology
- Advanced degree in a scientific field (MS, PhD)
- Understanding and exposure to Monte-Carlo, Stochastic Calculus, etc..
- Desire to work in a fast-paced environment where you will be tasked to roll up your sleeves and wear multiple hats