Quantitative Developer - Fx Commodities Credit - Quant Analytics

The Bloomberg's FX/Commodity/Credit Quant Analytics team is responsible for prototyping, implementing, and deploying models for derivative market data, pricing, and risk calculations in areas of the FX, Commodity and Credit for all Bloomberg products and services. This includes its terminal with 300,000+ clients, trading system solutions, enterprise risk management, and derivatives valuation service.
The team ensures that state-of-the-art models driven by high quality market data are brought together in robust, fast and accurate implementations, keeping Bloomberg at the cutting-edge of derivatives analytics.
The group seeks a quant developer with extensive experience on implementing and supporting derivative models in C++, specific to FX derivatives. You will participate in many stages of quantitative model development ranging from prototyping, production implementation, deployment and ongoing maintenance, as well as interaction with clients.
We'll trust you to:

• Implement and integrate derivatives pricing models in the existing in-house FX/Commodity/Credit C++ derivatives pricing libraries
• Improve accuracy and performance of existing market data models
• Improve accuracy and performance of existing pricing engines
• Document and communicate findings to internal and external clients as necessary

You'll need to have:

• Prior experience on FX derivative pricing models
• Masters degree in a technical discipline (mathematics, finance, physics, engineering, or similar field).
• Proven C++ experience
• Demonstrated knowledge of numerical techniques employed in derivatives pricing models (Monte Carlo, PDE methods often used in calibration and pricing, analytical)
• History of team collaboration and comfort in a multi-developer environment with a facility for interacting with quants, IT groups and product managers
• Strong oral and written interpersonal skills
• Knowledge of market conventions or pricing models in relevant asset classes

We'd love to see:

• PhD

If this sounds like you:
Apply if you think we're a good match! We'll get in touch with you to let you know what the next steps are.
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