Front Office C++ Quant Developer – Commodities recruitment

Global Investment Bank, London or Singapore
Front Office Quant Analytics

KEY RESPONSIBILITIES:

Develop and enhance the pricing and risk management models for the global Commodities business (vanilla to complex exotics)
Work on library and risk engine development
Develop C++ solutions to facilitate the development of models in the quant library (including creation of infrastructure, tools software components)
Work with traders on a daily basis dealing with their queries

ESSENTIAL SKILLS REQUIREMENTS:

Minimum of Masters educated in an analytical field (Computer Science, Physics, Engineering, Maths)
A strong development skill set to work on the quant library and other pricing applications being built internally (C++, C# and / or Java)
Over 3yrs working within front office with a thorough knowledge of commodity markets, products and models
Experience implementing pricing tools in a C++ library, in particular commodity models for exotic products using Monte Carlo or PDE numerical methods
Experience using design patterns successfully in previous library development
Energy risk systems development
Excellent OO programming in C++, Excel VBA, C# and Java

DESIRABLE SKILLS EXPERIENCE:

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