Quantitative Developer – Exotic Derivatives

About the role

Join a front‑office team at a global financial institution to build a brand‑new capital‑markets valuation engine from the ground up. The role is hands‑on, individual contributor, and involves translating academic research into production‑grade pricing models.

Key responsibilities

• Design and implement a valuation engine for exotic OTC derivatives.
• Read and interpret academic papers to develop pricing models.
• Build and maintain curve‑building, bootstrapping, and cash‑flow frameworks.
• Implement advanced numerical techniques such as Monte Carlo simulations.
• Defend modelling choices to senior stakeholders and ensure production‑grade quality.

Required profile

• Senior‑level quantitative engineer with proven experience in building models from scratch.
• Strong production‑grade Java expertise; Python knowledge is a plus.
• Deep understanding of curve construction, bootstrapping, financial date mechanics and cash‑flow modelling.
• Extensive experience with OTC derivatives, especially variance swaps, volatility swaps and knockout structures.
• Ability to deliver high‑performance code and work autonomously in a fast‑paced environment.

Required skills

• Java (production‑grade)
• Python
• Monte Carlo simulation
• Numerical methods
• Curve building and bootstrapping
• Financial date mechanics
• Cash‑flow modelling
• OTC derivatives pricing (variance swaps, volatility swaps, knockouts)