Lead Quantitative Software Engineer / Front-Office Quant Developer, VP
State Street1 day ago
Base Salary
$120k - $218k/yr
Responsibilities
- Implement XVA calculation features and functionality in collaboration with business quant teams.
- Develop test cases and test harnesses to validate implementations.
- Perform back-testing of algorithms.
- Work with infrastructure teams to configure the application compute environment.
- Deploy and maintain runtime infrastructure and respond to issues and user queries.
Requirements
- At least 15 years of experience.
- Master of Science in Financial Engineering or Bachelor of Science in Computer Science and Mathematics.
- Hands-on knowledge of CUDA programming.
- Experience with multithreaded C++, including templates, STL, and Boost.
- Experience with Core Java, concurrency, and garbage-collection tuning.
- Experience with Python, NumPy, and Pandas.
- Knowledge of interest rate swaps, basis swaps, swaptions, exotic options, forward rate agreements, and inflation-linked products.
- Knowledge of stochastic calculus, Monte Carlo simulations, finite difference methods, yield curve bootstrapping, the Libor Market Model, and Hull-White model calibration.
- Experience with Linux, kdb+/q, distributed grid computing, Git, Jira, and CI/CD pipelines.
Benefits
- Retirement savings plan with company match.
- Insurance coverage including basic life, medical, dental, vision, and long-term disability, plus optional additional coverages.
- Paid time off including vacation, sick leave, short-term disability, and family care responsibilities.
- Employee Assistance Program.
- Eligibility for incentive compensation, annual performance-based awards, and certain tax-advantaged savings plans.
- Inclusive development opportunities, flexible work-life support, paid volunteer days, and employee networks.
About State Street
State Street is a global custodian bank and asset manager serving institutional investors with investment servicing, fund accounting, trading/FX, data, and index/active strategies. Its products include State Street Global Advisors’ funds and ETFs, the Charles River Investment Management Solution, and the front-to-back State Street Alpha platform. Founded in 1792 and headquartered in Boston, the company is publicly traded on the NYSE (ticker: STT) and operates across major markets worldwide.