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 of derivative models in C++, specific to FX, commodity or credit 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:

• Masters or Ph.D degree in a technical discipline (mathematics, finance, physics, engineering or similar field) required.
• 1-5 years of extensive C++ experience is required
• Strong practical 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 data or pricing models in relevant asset classes

We’d love to see:

• Prior experience on commodity derivative pricing models

Bloomberg is an equal opportunity employer and we value diversity at our company. We do not discriminate on the basis of age, ancestry, color, gender identity or expression, genetic predisposition or carrier status, marital status, national or ethnic origin, race, religion or belief, sex, sexual orientation, sexual and other reproductive health decisions, parental or caring status, physical or mental disability, pregnancy or maternity/parental leave, protected veteran status, status as a victim of domestic violence, or any other classification protected by applicable law.

Bloomberg is a disability inclusive employer. Please let us know if you require any reasonable adjustments to be made for the recruitment process. If you would prefer to discuss this confidentially, please email amer_recruit@bloomberg.net.