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Quantitative Software Engineer

  • Kyiv, Ukraine
Job #: 45277
Striving for excellence is in our DNA. Since 1993, we have been helping the world’s leading companies imagine, design, engineer, and deliver software and digital experiences that change the world. We are more than just specialists, we are experts.

DESCRIPTION


Our client is one of the world’s largest providers of financial information and risk management solutions. The company empowers its’ clients to make smarter and more sustainable investments, drives market transparency and helps preventing financial crime. Serving more than 40,000 institutions in over 190 countries, it provides information, insights, and technology that enable innovation and performance in global markets. By advancing its customers, the company encourages progress for the worldwide financial community.

The company equips the financial community with access to an open platform that uncovers opportunity and catalyzes change. With a dynamic combination of data, insights, technology, and news from different sources, our customers can access solutions for every challenge, including a breadth of applications, tools, and content—all supported by human expertise.

In the context of high demand for commodities products, we are looking for a Quantitative Engineer do enhance the quantitative libraries Adfin and Price-It. The Quantitative Engineer will have to enhance models, increase commodities derivatives pricing coverage and deliver an API that will be used in the context of Quantitative Pricing Services on Elektron Data Solution on public cloud.

Responsibilities

  • Develop new financial models or maintain existing models in C++ (find closed formula or implement models using trees, PDE, Monte Carlo framework)
  • Extend the coverage of supported instruments in commodity market (Calendar spread option, commodity swaps)
  • Enhance derived Market Data for C&E Market (Review Implied Volatility SVI algorithm, Fair Value Curve)
  • Tailor the interfaces and monitor performance such that new features are efficiently integrated in the Analytics platform
  • Test the models in collaboration with our Quantitative Model Valuation team using Market Data
  • Provide functional support to customers or support teams

Requirements

  • At least 3+ of professional experience in software development in Java, .Net or similar
  • Experience with either Applied mathematics (e.g. partial differential equation, binomial trees, Monte-Carlo, etc.) or Financial topics/Quant Trading (Pricing, evaluation, financial models, VAR, CVA, XVA, HW, LMM, etc.)
  • Strong Computer Science fundamentals in algorithms, design, problem solving and complexity analysis
  • Experience in designing and implementing RESTful web services
  • Experience with software release process with automated CI/CD pipeline
  • Knowledge of best practices for the full software development life cycle
  • Self-driven, goal-oriented team player with good communication skills
  • Ability to work in a highly agile team environment

We offer

  • Competitive compensation depending on experience and skills
  • Individual career path in engineering
  • Social package - medical insurance, sports
  • Compensation for sick lists and regular vacations
  • English classes with native speaker (certified English teachers)
  • Flexible work hours
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