£550 - £650 per day
Contract Spy
Kensington, London, UK
Overview
The Quant Developer will design, enhance, and maintain Python-based pricing and valuation libraries used across global trading desks. These libraries underpin real-time and end-of-day risk workflows and ensure consistency between valuation, risk, and front-office systems. The role requires a technically skilled developer with a solid grasp of financial mathematics and derivatives pricing, capable of implementing and optimising complex models in a production setting.
Key Responsibilities
Develop and maintain Python pricing and risk libraries covering vanilla and structured options across commodities and equities.
Implement and calibrate models such as Black–Scholes, Heston, SABR, and Monte Carlo-based approaches for structured instruments (APOs, CSOs, ULDs, P1X).
Design and maintain volatility surface calibration workflows, including interpolation, extrapolation, and smoothing.
Collaborate with quantitative...