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Quantitative Functional Programmer (VP -
Level), New York. www.credit-suisse.com.
The Global Modelling and
Analytics Group (GMAG) is responsible for producing state-of-the-art pricing,
trading and hedging models for Credit Suisse. These models are used across a
range of businesses in the Fixed Income and Equity Divisions. The group’s
mandate covers all major asset classes including Credit Derivatives,
Commodities, Emerging Markets, Equity Derivatives and Convertibles, Exotics,
Foreign Exchange, Fund Linked Products, Interest Rate Products and Mortgage
Derivatives. GMAG operates globally with 85 members located in New York, London,
Hong Kong and Tokyo.
A core part of GMAG is our Architecture and
Delivery group, who are responsible for the technology architecture used in
GMAG. Part of the GMAG AD mandate is to develop new technology solutions for
financial modelling problems. We leverage Computer Science theory and research
to produce practical tools for quantitative modellers.
We are currently
building a Domain Specific Language (embedded in Haskell) that will be used
within GMAG. We require intelligent, motivated people to develop and extend
this language. These individuals will also work with modellers to aid them in
effectively applying these new tools.
Key Responsibilities: Responsibility for
development and maintenance of the Domain Specific Language, including:
Developing, extending and refactoring the language combinators. Building tools
to process and validate the language. Building run-time support functionality.
Teaching quantitative modelers to use the DSL. Helping modellers to implement
and debug their code. Addressing issues in the language and run-time environment
as they arise. Qualifications: A high level of competence in either Haskell or
another statically-typed functional language. The ability to build practical
well structured solutions on a tight timeline. A solid understanding of Computer
Science theory. Good communication skills and the ability to explain complex
Computer Science concepts to non-Computer Scientists. Good understanding of C++
and OO design. Familiarity with building Graphical User Interfaces is
highly-desirable. Familiarity with Microsoft Excel and XML processing is
highly-desirable. An interest in financial markets and the desire to learn
more.
Travel: Yes, 10 % of the Time. >>To
Apply
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