Quant Developer
Pricing & Risk Technology
Commodities and Energy Trading
London | Full-Time, Permanent
Our client is a leading energy trading house who are looking for a Quant Developer to join the Trading Technology group, focusing on the design, enhancement, and maintenance of a Python-based options pricing and valuation library. This system supports risk and valuation workflows across Oil, Power, Gas, and Equities, delivering real-time and end-of-day analytics for traders, risk, and quant teams.
The role suits a technically strong quant developer with expertise in Python, derivatives pricing, and financial mathematics – ideally with exposure to energy and commodity markets.
Key Responsibilities
- Develop, maintain, and extend Python pricing and risk libraries for options and structured derivatives (APOs, CSOs, ULDs, P1X).
- Implement and calibrate pricing models (vanilla and structured) and ensure alignment with front-office risk systems.
- Design and maintain volatility surface calibration workflows, manage market data (curves, vols, correlations), and build robust fallback and proxy mechanisms.
- Enhance library performance, calibration routines, and diagnostics; contribute to regression testing and CI/CD pipelines.
- Act as SME for pricing models within the risk and trading tech stack, supporting global teams and resolving production issues.
Key Skills & Experience
- Expert Python developer with strong numerical and vectorized coding skills (NumPy, SciPy, Pandas).
- Deep understanding of option pricing theory (Black-Scholes, local/stochastic volatility, Monte Carlo).
- Experience building and calibrating volatility surfaces and handling risk measures (Greeks, VaR, sensitivities).
- Exposure to commodity and equity derivatives markets; cloud (AWS, ECS, Lambda) and CI/CD experience desirable.
- Strong background in stochastic calculus, numerical methods, and optimization.
- Advanced degree (MSc/PhD) in Maths, Physics, Financial Engineering, or related field.
- 5-10 years’ experience in quantitative development within trading, investment banking, or commodities.
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