Job Description

CME Group is the world's leading and most diverse derivatives exchange. We are seeking a skilled and motivated Quantitative Developer to work in our dynamic and productive Quantitative Risk Management team within the Clearing House of CME. The Sr Quantitative Development Associate position is responsible for developing CME's in-house production analytics library which incorporates major parts of CME's risk and pricing models, risk-related optimizations and further analytics capability. The team is also responsible for several risk related research applications (e.g. back-testing) and is exploring cutting-edge technology, e.g. Cloud services, GPUs, AI tools, to boost application and development performance.

Principle Accountabilities:

Code development of new quantitative risk models within the CME C++ production risk library (based on mathematical specifications and research code). Writing unit and functional test cases and obtaining test data from systems or other groups. Work with the QA teams to ensure correctness not only within the risk library itself but also the integration into the wider system infrastructure (e.g. data integrity, correct usage). Work with IT teams to help bring the code into production. Agreeing on timelines, milestones, interfaces, required data and their format, and providing documentation and usage assistance to library users. Responsible for code reviews, design discussions and documentation. Collaborate with offshore development teams and coordinate projects to guarantee a timely delivery.

Skills and Software Requirements:

Very good knowledge of C++ (4+ years of experience). Possession of good analytical, mathematical, and problem solving skills, with quantitative skills being a plus. Ability to read and understand mathematical and algorithmic specifications Good knowledge of Java. Good general software development skills, including code documentation. Working knowledge of versioning systems (e.g. git) and development environments (e.g. Visual Studio, Eclipse). System experience with Linux/Unix environments and/or databases, Latex documentation system is a plus. Cloud experience with GCP/AWS/Azure and/or GPU/CUDA programming is a plus.

Qualifications:

Master (or Doctorate) in Computer Science, Financial Engineering, Financial/Applied/Pure Mathematics, Physics, or a related discipline.
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