VaR value at Risk c++ programmer math quantitative algorithm

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Team Lead for VaR Risk Management
Hands-on C++ Programmer with Advanced Math Skills
Compensation: $150,000 to $250,000 +
Substantial annual bonus & Stock grants
Location: Stamford, CT area
Our client a multi-billion dollar securities trading company is seeking an
outstanding C++/UNIX/Linux software engineer with a very strong math background, to
lead a small team in developing automated portfolio risk management software
systems utilizing Value at Risk (VaR) calculations. In addition, Java tools for risk
management for use by traders are also developed.
The position will require exceptional C++ programming skills developing Linux real-
time systems along with experience in the financial industry developing VaR
calculations systems.
Compensation of base plus bonus will be commensurate with experience
and industry standards. Substantial compensation upside for qualified applicant.
Requirements:
 10+ years experience developing critical C++/Linux systems
 Substantial real-time system experience.
 Advanced mathematics background.
 Experience as a team lead in a fast-paced environment with tight deadlines.
 Excellent problem solving skills.
 Experience with Java, Python, socket programming, multi-thread programming,
OLAP, MySQL, embedded database(Berkeley DB, SQLite, HSQLDB), Linux.
 Financial industry experience in VaR based risk management systems
very desirable but other experience will be considered.
 Experience with Option pricing, volatility surface modeling, kalman filter,
stochastic volatility, particle filter, Monte Carlo risk analysis is desireable.
 MS or PhD in computer science, math, physics, electrical engineering, or other
scientific or engineering field.
Relocation assistance available.