About the Role
Position Description:
(Note: This job posting is only open to EU candidates.
A Quantitative Developer (C++) who will design, implement, and maintain the analytical and computational components of the margin and risk modeling framework. The developer bridges quantitative finance, numerical methods, and high performance engineering, delivering robust, efficient, and production grade tools for scenario generation, pricing, and risk aggregation.
Core responsibilities include
•Implementing high performance pricing models (futures, averaging futures, spreads, Black 76/Bachelier options) in modern C++
• Developing and optimizing scenario generation pipelines, including historical shocks, filtered historical simulation (devol/revol), interpolation/extrapolation of curves, and vol surface transformations
• Building scalable, deterministic portfolio revaluation engines for VaR/ES calculations
• Developing clean APIs for cu...
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