Quantitative Developer - Derivatives

What this role involves

The role is for a Quantitative Developer in the Pricing and Risk team at IMC's Chicago office. It involves designing and implementing high-performance numerical algorithms for derivatives pricing and risk. The candidate should have strong C++ and Java skills and experience with options and volatility modeling.

Skills this posting asks for

• c++
• java
• derivatives pricing
• options
• volatility
• numerical algorithms
• quantitative modeling
• pde methods
• numerical analysis
• risk systems

Requirements

• 5 years of experience
• Level: senior
• Remote policy: onsite

From the employer’s posting

We’re looking for a Quantitative Developer - Derivatives to join our Chicago office. At IMC, the Pricing and Risk (PAR) team owns the firm’s core quantitative library for live derivatives pricing and risk. This library sits directly in the critical path of our HFT market making systems an…