Sr. Quant Developer
Capstone Investment Advisors3 days ago
London, United KingdomSenior
Responsibilities
- Develop quantitative models and pricing solutions for exotic equity products and scripted payoffs.
- Implement high-performance Monte Carlo engines for complex path-dependent payoffs and exotic derivatives.
- Work with local volatility, local stochastic volatility, and parametric implied volatility models.
- Apply strong quantitative, statistical analysis, and problem-solving skills in collaboration with equity trading desks.
- Program primarily in C++ and use at least one additional modern programming language.
- Communicate technical and quantitative concepts clearly in writing and verbally.
Requirements
- At least 5 years of experience with quantitative modeling and pricing of exotic equity products and scripted payoffs.
- Bachelor's, Master's, or PhD in STEM or a similar subject.
- Strong C++ programming skills and proficiency in at least one other modern programming language.
- Direct experience working with equity trading desks.
- Strong quantitative skills and experience in statistical analysis.
- Experience in the financial industry on the buy side or sell side.
- Strong analytical, problem-solving, collaboration, and verbal communication skills.
- Additional asset-class experience, knowledge of the Vola Dynamics Library, and Java or Python programming skills are preferred.
Benefits
- Training and development opportunities.
- Physical, mental, and financial wellness resources.
- Time-off, retirement, and commuter benefits.
- Gym reimbursement and other discounts.
- Performance-based incentives may be available in addition to base salary.
Tech Stack
Categories
About Capstone Investment Advisors
Capstone Investment Advisors is a privately held global asset manager that develops derivatives-driven and complementary strategies for institutional investors. Founded in 2004 and headquartered in New York, it invests across global markets to serve pensions, endowments, and other allocators. The firm maintains offices in London, Amsterdam, Tokyo, Los Angeles, Boston, Stamford, Milan, Texas, and Maryland.