Job Description
Job Responsibilities:
- Work closely with senior Quants and Traders to implement analytics libraries used for the pricing of exotic and complex cryptocurrency derivatives
- Develop and optimize pricing models using GPU acceleration
- Utilize and integrate relevant Python libraries such as NumPy, SciPy, Pandas, TensorFlow, PyTorch, CuPy, and so on for numerical computations and data analysis.
- Calibrate volatility models based on the liquid listed options data
- Coordinate with developers to integrate the quant library into the live pricing and risk management system
Job Requirements:
- Education background in quantitative disciplines. Candidates with MSc/PhD background in Math/Physics/Financial Engineering/Computer Science are highly preferred
- Deep understanding in advanced probability theory and stochastic calculus
- Hands on experience with GPU programming and libraries such as CUDA, CuPy, JAX, TensorFlow, or PyTorch and GPU acceleration for Monte Carlo Pricing Experience
- Experience in numerical methods such as Monte Carlo Methods, PDE solvers, and lattice methods
- Familiarity with stochastic volatility models/jump-diffusion models and their implementations is a plus
Click "Apply Now" to apply for this position or call Christopher Zhou at +852 3180 4986 for a confidential discussion. All information collected will be kept in strict confidence and will be used for recruitment purpose only.
