Senior Quantitative Algorithm Engineer

Today we are a global team of technologists and thinkers, who help transform the world with the power of software, enabling our customers to be competitive and disruptive in the marketplace through innovative technology solutions.

POSITION 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 for 2 company's products.

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
• Developing the revised or new calculations for product/client

REQUIREMENTS

• Experience in Applied mathematics (e.g. partial differential equation, binomial trees, Monte-Carlo, etc.)
• Proficiency in Financial topics/Quant Trading (Pricing, evaluation, financial models, VAR, CVA, XVA, HW, LMM, etc.)
• Strong understanding of C++/C#
• Experience in working with Python
• Good knowledge of Java
• Experience in working with Visual Studio dev tools & services
• 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
• Intermediate or higher English level, both spoken and written (B1+)

BENEFITS

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

EVEN MORE EPAM BENEFITS

• We offer the possibility to work on full product lifecycle -from concept to delivery into production
• We offer mentorship program
• We offer guaranteed professional growth through the technology trainings and technology communities inside EPAM
• We are proactive Agile/Scrum/XP practitioners