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Quant Pricing

New York, New York
The cross asset pricing library ADFIN is a key component of Thomson Reuters Eikon & Elektron. It covers all asset classes such as Fixed Income, FX, Credit, Commodities, Equity and Hybrids and is integrated in the Thomson Reuters Analytics platform.
The New York ADFIN team is looking for a Senior Quantitative Engineer with significant experience in designing and implementing financial models using c++ in a cross asset library.
Our teams are working in daily collaboration with their colleagues located in France, Bangkok, Beijing, Bangalore and London.
  • implement new features in the existing cross asset C++ pricing library ADFIN.
  • participate in the evolution of the library with a focus on FX & Fixed Income.
  • be a contact to discuss with Quality Assurance, Support, product management and business groups and as necessary with internal and external clients.
  • ensure that new features are properly integrated in the Analytics platform
  • Quantitative Ph.D. degree, or advance quantitative degree (e.g. econometrics, engineering, finance, mathematics, operations research, physics)
  • At least 3-5 years of relevant experience as IT Quant on a desk or in a risk management department.
  • Extensive knowledge of OTC market with a focus on Fixed Income & Foreign Exchange
  • Proven track record in model implementation (Tree, Monte Carlo, PDE) or real life pricing model calibration to market data or arbitrary data sets
  • Strong programming skills ( 3-5 years of development experience in C++ or/and C#)
  • Strong interpersonal and communication skills ( verbal and written)
  • Knowledge of software delivery process ( releases, Agile method, …)
  • Team player able to work with other developers in different locations
Our company :
THOMSON REUTERS is the world’s leading source of intelligent information for businesses and professionals. We combine industry expertise with innovative technology to deliver critical information to leading decision makers in the financial, legal, tax and accounting, scientific and media markets, powered by the world’s most trusted news organization.
THOMSON REUTERS EIKON is our flagship product for the global financial community. Its new generation user interface collects and delivers a powerful mix of news, analytics and financial content to your desktop or mobile, filtered to your precise needs. Its powerful natural language search engine, its integrated trading tools as well as its built in collaboration tools are all based on a unified platform. We use the latest technologies to present data intuitively, elegantly and immediately, allowing a quick and efficient decision making process.

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