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Quantitative Developer
This is an opportunity for a creative problem solver with extensive derivatives industry experience to build mathematical models and code modules that drive the revenue of a rapidly growing proprietary trading firm. Your efforts will directly impact revenues and long term profitability. The Quantitative Development Team members are the primarily lines of communication with the Technology Team.
You will work with the Technology Team members to build robust mathematical models, calculation engines and trading logic components that feed into the trading technology infrastructure. In this highly visible role you will work side-by-side with key decision makers of the firm to:
-Research new and improve existing quantitative techniques and methods for option pricing, time series estimation and portfolio risk management.
-Write production code implementing analytical and numerical models.
-Identify weaknesses in current models and suggest enhancements to the models.
Responsibilities:
You will apply your derivatives modeling and programming expertise to support existing options pricing infrastructure. You may start by helping to implement a pricing model for a new product being added to the portfolio. Or, you may be asked to help make an existing model more robust or efficient. In any case, you will utilize your mathematical skills focused on option pricing models as well as your proficiency in C++, C#, STL, VBA for Excel, Matlab and Mathematica. Once you are familiar with the business model, pricing algorithms and risk management procedures, you will be expected to help develop and implement medium to long term innovations to models and processes.
Qualifications:
-4+ years direct derivatives industry experience.
-Candidates with extensive experience that is not in the derivatives industry will also be considered provided that they meet all of the other requirements.
-Graduate degree in Mathematics or a Physical Science (Financial Mathematics degree preferred).
-Strong grasp of Linear Algebra, Statistics, Differential Equations and Numerical Analysis.
-Superior knowledge of .NET, C++, STL, Matlab, VBA for Excel and SQL Server.
-Ability to act quickly, decisively and effectively under tight time constraints.
Jobs, Chicago, Quant, Quantitative Developer, Quantitative, C++, .Net, C#, STL, VBA, Matlab, Mathematica, SQL Server, Derivatives, Linear Algebra, Statistics, Differential Equations
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