Junior Quantitative Analyst
| Location: | London, UK |
|---|---|
| Department: | Quantitative Development |
| Position: | Junior Quantitative Analyst - this position has now been filled |
OpenGamma is the author and sponsor of the OpenGamma Platform, the first Open Source platform for quantitative finance. Used by investment banks, hedge funds, and others, this revolutionary technology allows firms to focus on their proprietary approaches to the market, without having to recreate the same technology as other firms.
We’ve put together a team that spans some of the best-of-the-best across financial services (Vega Asset Management, Proxima Alfa, KBC Financial Products, Dresdner Kleinwort, RBS, Dexia, BIS, JPMC) and pure technology (Expedia, Accenture, SITA, 1010data) backgrounds. Our standards are extremely high, and we expect all our developers to perform at a consistent standard of excellence.
This role is in our Quantitative Development team, where you would report to our co-founder and Head of Quantitative Development, Elaine McLeod.
As part of our comprehensive front office analytics and risk management offering, we have built a cross-asset-class analytics library with excellent coverage of fixed income and equity products. Our focus is on building an Open Source analytics library with a comprehensive range of analytic measures and numerical techniques supporting a wide range of derivatives products. Your role would be to write code to support all aspects of our analytics library including products, models and numerical algorithms.
The ideal candidate for this role will have completed a PhD in a highly numerate subject (e.g. physics, mathematics or engineering), be able to program competently in at least one language and have a thorough working knowledge of statistical and numerical methods. No previous work experience in the financial industry or any formal training in this area is required. However, the candidate must show a genuine interest in finance, and have completed a program of self-study (or otherwise) in the fundamentals of derivative pricing and risk management.
General Duties
- Research and Development of state-of-the-art pricing models across asset classes
- Full mathematical documentation for new pricing models included in our analytics library package
- Support for customers building complex and bespoke analytical models on top of the OpenGamma Analytics Library building blocks
Requirements
- 1st or upper 2nd class degree from a top tier university in physics, mathematics, engineering or computer science
- PhD in physics, mathematics (including mathematical finance), engineering, computer science or other highly numerate subject from a top tier university
- Good working knowledge of at least one programming language
- Experience with numerical techniques (optimisation, integration, matrix decomposition, Monte Carlo methods, etc)1
- Show good understanding, through self study or otherwise, of the basics of option pricing theory2
Desirable Skills
- Expertise in a C lineage language (i.e. C++, C# or Java)
- Experience with object oriented programming and design patterns
- Worked on large-scale software project using some form of source control
- Written documentation in LaTeX
As we anticipate that not every candidate will have every skill desired, candidates should express a demonstrated ability to acquire skills on the job to round out their profile.
To apply, please submit your CV and a covering letter to jobs@opengamma.com.
No recruitment agencies, please.
1Numerical Recipes is a good source for the type of material with which you will be expected to be familiar.
2Financial Calculus by Baxter and Rennie is indicative of the level required at this stage.