Distinguished Quantitative Engineer – Exotic Derivatives

Job Title: Distinguished Quantitative Engineer Exotic Derivatives
Location: London UK (Hybrid)

Duration: 12 Months Extendable contract
Rates: 85.2 GBP/Hr on PAYE (Inside IR35 contract)

Job Description

Level: Distinguished Engineer / Principal IC
Role Overview

• We are hiring a Distinguished Quantitative Engineer for a senior individual contributor contract role in London.
• This role is for a hands on quant engineer with 15 years of demonstrable experience independently designing implementing and delivering production grade pricing and risk models for exotic derivatives across Equity Rates FX and Commodities.
• This is not a managerial or advisory role.
• The expectation is deep hands on ownership: modelling numerical implementation performance optimisation and direct contribution to live analytics and trading systems.

What You Will Do
As a Distinguished Quantitative Engineer you will:

• Independently design implement and validate pricing and risk models for complex and exotic OTC derivatives
• Own models end to end: mathematical formulation numerical method code calibration production rollout
• Build and evolve core analytics libraries used for valuation sensitivities scenarios and XVA

Implement advanced numerical techniques:

• Monte Carlo methods (including variance reduction)
• Tree / lattice methods
• PDE approaches
• Curve construction interpolation and bootstrapping
• Work directly with real world market data calibrations fixings and conventions across asset classes
• Deliver high performance low latency implementations suitable for large books and intraday risk
• Review debug and improve existing quantitative codebases with a focus on correctness stability and scalability
• Act as a technical authority setting engineering standards for analytics quality and implementation rigor
• Partner with product and stakeholders to ensure models reflect real market behaviour not academic simplifications

Required Experience (Non Negotiable)
You must have:

• 15 years of hands on experience as a quantitative developer / quant engineer (not only modelling or only engineering)
• Proven experience independently building pricing and risk models that have run in production
• Deep experience with exotic derivatives across Equity Rates FX and/or Commodities
• Strong understanding of front to back derivative lifecycle not just valuation
• Track record of personally authored quantitative components such as:
  Pricing libraries
  Risk engines
  Exotic payoff models
  Calibration frameworks
• Ability to explain and defend modelling choices under scrutiny from trading risk or clients
• You should be able to clearly articulate what you personally built why it was implemented that way and how it behaved in production.

Technical Skills

• Strong production experience in Java C and/or Python (numerically intensive code not scripting only)
• Advanced numerical computing and algorithm design
• Solid understanding of performance optimisation and memory management
• Experience working with shared analytics services and distributed systems
• Comfortable working with imperfect data legacy systems and real world constraints

Product & Domain Knowledge

• Deep understanding of OTC market conventions and behaviours

Practical experience with:

• Cashflows fixings resets exercises knock ins/outs
• Curve frameworks (OIS multi curve inflation credit where applicable)
• Sensitivities scenario risk stress testing and regulatory measures
• Ability to bridge quant theory engineering reality product requirements

What This Is Not

• Not a people management role
• Not a pure research / academic quant role
• Not an architecture only or ivory tower position
• Not suitable for candidates without direct production ownership

Education

• Advanced degree (Masters or PhD preferred) in Mathematics Physics Engineering or Computer Science or equivalent demonstrable commercial experience at senior level

Contract Nature

• Contract role based in London
• Expected to operate as a true senior IC delivering tangible outcomes quickly
• Requires strong autonomy accountability and minimal hand holding