This is a hands-on development role focused on pricing for real-time trading, with a strong emphasis on option pricing. C# is our primary language, and you'll also work in C++ and Python. You'll join our trading technology team, writing C# and .NET code (and C++ and Python where they fit best) to design, build, and improve the pricing components of the highly distributed platform that our trading systems run on across the Asia Pacific region. Your work will cover option pricing and Greeks, implied volatility models and calibration, risk and PnL, and scenario analysis. You'll work closely every day with traders, quants, and other technology teams, as well as your fellow developers, turning pricing ideas into fast, reliable production software.
What you’ll do
- Design, build, and maintain option pricing services for trading, primarily in C# and .NET, with a focus on accuracy, performance, and reliability
- Build and optimise calculation of option prices and Greeks that traders rely on to manage risk
- Build and maintain implied volatility models and the real-time calibrators that keep them aligned with the market
- Develop risk and PnL calculation and attribution components that give traders accurate, timely views of their positions
- Build scenario analysis tools that let traders and quants see how risk and PnL respond to changes in prices, volatility, and other market conditions
- Collaborate closely with traders and quants to understand their needs and turn pricing models and requirements into production code
- Partner with other technology teams (such as quants and application support) so your services integrate smoothly with the rest of the platform
- Optimise the latency and throughput of pricing, Greeks, calibration, and scenario calculations across the platform
- Develop and maintain the C# services, along with the C++ and Python components, that power our pricing platform
- Work with multicast and Kafka data feeds that drive pricing
- Write automated unit, integration, and regression tests, including numerical validation of pricing and Greeks, so changes can be released with confidence
- Investigate and fix pricing issues and bugs in the code you own
- Keep technical documentation up to date for the systems you build
What we're looking for
- Strong C# and .NET development skills, with at least 3 years of commercial software development experience
- Solid working experience with C++ and Python alongside C#
- A working understanding of option pricing and Greeks (or a strong mathematical background and the drive to learn quickly)
- A passion for financial markets and instruments, particularly derivatives and volatility modelling
- A degree in Computer Science, Mathematics, Engineering, Physics, or a related quantitative or technical field
- Experience in trading, market making, or another demanding production environment (ideal)
- Experience building highly distributed systems
- Excellent communication and collaboration skills, with the confidence to work closely with traders, quants, and other technology teams
- The ability to handle tight deadlines and shifting priorities in a trading-room environment
Technical skills
- Strong C# and .NET development, including writing performance-sensitive, multi-threaded code
- Solid programming skills in C++ and Python, with C# as our primary language
- Understanding of option pricing models and the Greeks, and how to calculate them accurately and efficiently in real time
- Ideally, experience building and maintaining implied volatility models, such as volatility surfaces and their parameterisation, and the real-time calibrators that fit them to market data
- Ideally, an understanding of numerical optimisation and model calibration techniques, including how to keep calibrations stable, fast, and robust to noisy inputs
- Experience building risk and PnL calculation or reporting systems, or similar financial calculation engines
- Familiarity with scenario analysis and risk calculations, such as revaluing positions under shifted prices and volatilities
- Solid understanding of highly distributed architectures
- Experience with streaming and messaging systems such as Kafka
- Understanding of multicast data feeds
- Experience writing automated tests for production code
Nice to have
- Familiarity with numerical methods, such as Monte Carlo simulation, finite differences, or automatic differentiation
- Experience profiling and tuning low-latency or high-throughput applications
- Experience working directly with traders
- Familiarity with MongoDB
What’s in it for you
- Our flat hierarchy enables you to drive meaningful impact, by leveraging your expertise and taking ownership.
- Private healthcare and gym allowances, plus wellness initiatives.
- Additional leave entitlements including marriage leave and 2 bonus days annually.
- Fully stocked kitchen, with daily breakfast and lunch.
- Regular social, sporting and community events including annual poker tournament.
- Matched donations and corporate discounts.
- Explore our benefits and culture: link
About Susquehanna
Susquehanna is a global quantitative trading firm powered by scientific rigor, curiosity, and innovation. Our culture is intellectually driven and highly collaborative, bringing together researchers, engineers, and traders to design and deploy impactful strategies in our systematic trading environment. To meet the unique challenges of global markets, Susquehanna applies machine learning and advanced quantitative research to vast datasets in order to uncover actionable insights and build effective strategies. By uniting deep market expertise with cutting-edge technology, we excel in solving complex problems and pushing boundaries together.
What we do
Susquehanna’s deep integration of trading, technology and quant research makes us experts in trading essentially all listed financial products and asset classes, with a focus on derivatives. We handle millions of trading transactions around the world every day as both a market maker and market taker. Our efforts provide liquidity and ensure competitive prices for buyers and sellers. While our presence in the market is broad, our trading desks are highly specialized to allow for a deep understanding of the unique drivers of each asset class.
Equal Opportunity statement
We’re committed to building a diverse and inclusive workplace. We encourage candidates from all backgrounds to apply and are happy to provide reasonable accommodations during the hiring process.
If you're a recruiting agency and want to partner with us, please reach out to recruiting@sig.com. Any resume or referral submitted in the absence of a signed agreement will not be eligible for an agency fee.
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