The candidate will participate in developing derivative pricing and portfolio risk analysis components in an automated risk management system in the Brokerage firm. The system covers mostly US equity options & futures, but is quickly expanding to cover equity/currency/commodity/volatility/fix-income derivative products of global markets.
The candidate is expected to develop robust software to provide pricing and risk modeling services in both soft real-time and overnight batch processing environments. The position also involves further expanding and testing the core pricing and risk analysis libraries.
The candidate should be capable of making sound software design given a project spec, and implementing with production quality. Experience in statistical and numerical computing is required. PhD or Masters degree in a Quantitative discipline is required Professional experience in C++ and Object-Oriented design Solid skills in all or some of the following: Python, Linux/UNIX, Java, distributed computing, multi-threading, SQL, MySQL/Oracle, and XML Demonstrated experience in designing and implementing complex software system Strong logical thinking and problem solving ability Good math and analytical skills Prior experience in derivative pricing and risk modeling is preferred, but not required
