Responsibilities Include:
- Design and build high performance, scalable frameworks to support distributed calculations
- Design and build a tweak engine to generate scenarios for Explains, Sensitivities and other metrics
- Work closely with the team and Quantitative Research to ensure the framework is well integrated with the analytics code
- Leverage a broad understanding of Finance and Risk methodologies in developing the system
Skills:
- Deep experience in large scale, high performance grid computing environments
- Solid experience working in Python and C++
- Experience deploying and tuning Python/C++ systems
- Experience with high-performance computing environments
- Good understanding of Object Oriented Methods and working in large project SDLC
- Understanding of Derivatives products, Credit Risk and Monte Carlo simulation
- Delivery-focused with a proven track record
- Excellent written and verbal communication; Good interpersonal skills
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