Quantitative Developer Vice President
As Barclays Quantitative Developer you will join the Quantitative Analytics Desk Strategy team, which is a global group of highly specialized quantitative modellers and developers. The team is responsible for developing, testing, implementing, and supporting all quantitative models used for valuation and risk management across all asset classes. You will be fully dedicated to the support of Equity Hybrid and Structured Products business but also the Quantitative Indices and Strategies business.
Barclays is one of the world's largest and most respected financial institutions, with 329 years of success, quality and innovation behind us. We've helped millions of individuals and businesses thrive, creating financial and digital solutions that the world now takes for granted. An important and growing presence in the USA, we offer careers providing endless opportunity.
What will you be doing?
• Researching, implementing, prototyping and documenting pricing models for Equity structured products
• Liaising with Front Office and Technology to deploy new and strategic pricing risk library to production
• Providing quantitative strategies to the front office desks with pricing tools and liaise with IT & Control Functions to ensure understanding of the tools going into production
• Designing, developing, and maintaining new models and infrastructure components
• Defining models and numerical methods to be studied in order to improve pricing and hedging of structured and cross-asset products
• Integrating new pricing risk library to production systems
• Developing and implementing models in the existing C++ cross-asset library
• Developing and supporting the quantitative research framework using C++, Python and other in-house domain specific languages
What we’re looking for:
• Masters or PhD in Mathematics/Computer Science or related field
• 5+ years’ experience in front office pricing environment
• Strong modelling skills, including in depth knowledge of PDEs, Monte Carlo methods, Equity derivatives modelling.
• Mathematically minded (knowledge of financial mathematic, ability to program numerical algorithms in C++)
Skills that will help you in the role:
• Cross-Asset knowledge (Equity, Credit, Rate & Commodity assets)
• Experience in Front Office and Derivatives modelling
• Previous experience in the quantitative investment and strategies or structured products area
• Experience with Python libraries for numerical analysis (Panda, NumPy, etc)
Where will you be working?
You will be working at our Americas Headquarters at 745 Seventh Avenue. This 37-story office tower is located in Times Square in the heart of Manhattan and features a cafeteria, fitness center and state-of-the-art LED signage on the facade of the building.