What will you be doing?
On behalf of Equity Trading business of global financial services firm:
Develop C++ quantitative library for equities asset class and build Python-based tools and processes to assist Trading desk with derivatives pricing and risk management.
Provide quantitative and analytical support to trading desk on daily basis for pricing, volatility fitting, and profit and loss (PnL) explain issues.
Design, implement, and back-test pricing and trading tools used by Trading desks in their day-to-day activities (ranging from market data discovery, to alternative risk views and signal generation).
Use C++ and Python to design, develop, and maintain models and infrastructure components.
Liaise with Front Office and Technology teams to deploy new and strategic pricing risk library to production.
Utilize Python programming to develop trading tools for quantitative library and automate daily support processes.
Extend back-testing framework with new features, back-test strategies, and perform critical analysis of the results.
Extend equity pricing models with new features utilizing C++ and stochastic calculus knowledge.
Enhance automated volatility fitting process with new features and develop quality measures to assess the quality of the fits.
Develop scripts for monitoring processes and generating risk reports for the Trading desk.
Utilize Linear Regression and Machine Learning skills to optimize portfolio risk hedging. Develop quality measures for automated volatility fitting process to assess the quality of the fits.
What we’re looking for:
Requires minimum of a Master’s degree, or foreign equivalent, in Mathematics, Mathematics of Finance, Financial Engineering, or a related quantitative field and two (2) years of experience in role offered, as a Quantitative Analyst/Associate, or related position for a global financial services firm.
Must have two (2) years of experience with: Developing C++ quantitative library for Equities asset class; Building Python-based tools and processes to assist Trading desk with derivatives pricing and risk management; Utilizing Python to build tools for the quantitative library; Providing Trading desk support including pricing, volatility fitting, and PnL explain; Using knowledge of C++, stochastic calculus, numerical methods, and Partial Differential Equations (PDEs) to develop quant models for equity derivatives pricing; Developing scripts for monitoring processes and generating risk reports for Trading desk; and Performing Monte Carlo simulations to provide corresponding pricing for Traders.
Where will you be working?
You will be working at our New York, New York location 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 façade of the building. The building is easily accessible to Restaurants, Shops and Public Transportation.
Interested and want to know more about Barclays? Visit home.barclays/who-we-are/ for more details.
Everything we do is shaped by the five values of Respect, Integrity, Service, Excellence and Stewardship. Our values inform the foundations of our relationships with customers and clients, but they also shape how we measure and reward the performance of our colleagues. Simply put, success is not just about what you achieve, but about how you achieve it.
We aim to foster a culture where individuals of all backgrounds feel confident in bringing their whole selves to work, feel included and their talents are nurtured, empowering them to contribute fully to our vision and goals.
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Dynamic working gives everyone at Barclays the opportunity to integrate professional and personal lives, if you have a need for flexibility then please discuss this with the hiring manager.
Our customers are unique. The same goes for our colleagues. That's why at Barclays we offer a range of benefits, allowing every colleague to choose the best options for their personal circumstances. These include a competitive salary and pension, health care and all the tools, technology and support to help you become the very best you can be. We are proud of our dynamic working options for colleagues. If you have a need for flexibility then please discuss this with us.