Quantitative Developer - Crypto Derivatives - IIT/IIM/IISc (1-5 yrs)
Designation: Quantitative Developer Crypto Derivatives
We are looking for proactive, self-starting individual to be part of our clients India office and working closely with Switzerland office. This is an exciting role offering exposure to an interesting, dynamic product group and work environment to build career.
The successful candidate will be a hands-on programmer and detail-oriented individual who will build derivatives pricing, analytics and risk management infrastructure for options and futures on cryptocurrencies and digital assets.
- Support the bank's Markets & Investment Solutions team to develop real time pricing models for cryptocurrency options and derivatives
- Maintain historical databases of option prices and analytics, including greeks
- Develop python-based tools to aid trading and risk management decisions
- Build and maintain professional and highly reusable code which can be integrated into the overall platform
- Document code functionalities, new functions and processes
- Demonstrated programming experience with Python and Excel-VBA. Knowledge of Matlab is a plus
- Hands-on experience with implementing complex option pricing models, knowledge of Equity and FX option modeling techniques as well as volatility surface calibration
- Experienced in quantitative back-testing of derivatives strategies
- Experience with APIs, Github/Gitlab, and SQL based time series databases
- Should be self-driven and detail oriented with an analytical mindset
- Should be a proactive and quick learner; with an ability perform independently as well as play on a team
- Min. 2 years of Python experience mandatory (including packages such as pandas, numpy, scipy
Qualification - Comp Science/Computational Math/Econometrics backgrounds from Tier 1 institutions
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