Beschreibung
Sophis/Developer/C++/C#
My Client a leading financial organisation is seeking an experienced Sophis Developer. The ideal candidate would have a profound knowledge of Sophis as well as some exposure to front arena. Although front arena experience is not a must.
IT concepts & software development in structured products und equity derivatives division, risk management systems Sophis Risque & Front Arena, quant IT development:
*stochastic volatility calibration distributed framework
*p&l reports & p&l explanations tools
*volatility & market data update distributed grid with impact calculations, flexible market data scenarios tools
*p&l reports snapshots & archiver
*(semi) automatic hedging supporting tools: delta, vega, epsilon
*different data flow interfaces from/to Sophis (eg Front Arena)
*realtime barrier monitoring tool, barrier hits delta changes calculations
*fixing delta, theta delta scenarios
*COM infrastructure for all Sophis/Front Arena related application & tools on trading floor. Unique technology to bind Front Arena into Excel formulas Real Time
*32/64 bit inter- process communication for VBA6/Excel
*trading supporting tools for fixings, fixings monitoring & monitoring infrastructure
*Sophis client GUI extensions
*exercise/assignment processing on expiries
*brokers connectivity interfaces (cscreen, vectalis)
*parametric volatility fitting & publishing system based on Real Time options quotes
*public markets e-trading platform implementation
*FIX based interfaces/trading system TradeWeb, Dertitrade, RFQhub, CScreen
* C++, VB(A), C#, Excel and Access, SQL, Oracle, MySQL, MQ Series (IBM WebSphere), WPF, WCF, .NET, XML/JSON
* direct on-desk support & IT development in Front Office/trading floor in trading, structuring and financial engineering