Quantitative Developer - Derivatives

4 дн. назад

USASeniorOnsite

c++numerical algorithmsquantitative modelingderivativeshigh-frequency tradingperformance optimization

Develop high-performance quantitative models and algorithms for derivatives pricing and risk within a high-frequency trading firm's core library.

О компании

IMC is a global trading firm powered by a cutting-edge research environment and a world-class technology backbone. Since 1989, we’ve been a stabilizing force in financial markets, providing essential liquidity upon which market participants depend. Across our offices in the US, Europe, Asia Pacific, and India, our talented quant researchers, engineers, traders, and business operations professionals are united by our uniquely collaborative, high-performance culture, and our commitment to giving back. From entering dynamic new markets to embracing disruptive technologies, and from developing an innovative research environment to diversifying our trading strategies, we dare to continuously innovate and collaborate to succeed.

Обязанности

Design and implement high-performance numerical algorithms for pricing and risk
Build and improve models that reflect real market behavior, balancing accuracy, stability, and latency
Own core components of the firm’s pricing library, from models to calculation graphs to central infrastructure
Work closely with quants and engineers to ensure models are robust, explainable, and production-ready
Contribute across the full lifecycle: research, implementation, validation, and performance optimization
Write clean, maintainable production code in C++ and Java

Другое

We’re looking for a Quantitative Developer - Derivatives to join our Chicago office.
At IMC, the Pricing and Risk (PAR) team owns the firm’s core quantitative library for live derivatives pricing and risk. This library sits directly in the critical path of our HFT market making systems and serves as the real-time source of truth for valuation across all strategies. It is both foundational and constantly evolving, with extremely high expectations for performance and correctness.
The platform runs at scale across thousands of servers and is developed collaboratively across desks and regions. The team works closely with global counterparts to ensure consistency in how derivatives are modeled and priced across the firm.
Our primary focus is options and volatility modeling, alongside support for a broader set of asset classes including fixed income, ETFs, and FX.
This role sits at the intersection of quantitative modeling and high-performance engineering, similar to roles often titled Quant Developer or Strategist.
5+ years of experience in a trading or financial environment working on pricing or risk systems
Strong understanding of derivatives pricing, especially options and volatility
Solid background in mathematics, physics, computer science, or a related quantitative field
Extensive C++ and/or Java skills, with experience building production systems
Experience working closely with quants, traders, or similarly technical stakeholders
Ability to translate quantitative models into reliable, scalable systems
Experience with PDE methods or other advanced numerical techniques is a strong plus
Familiarity with numerical analysis (stability, convergence, error propagation) is a plus
The Base Salary range for the role is included below. Base salary is only one component of total compensation; all full-time, permanent positions are eligible for a discretionary bonus and benefits, including paid leave and insurance. Please visit Benefits - US | IMC Trading for more comprehensive information.