C++ Quantitative Developer
Engineering · London · Full-time · On-site
Annual base salary: £190,000 – £225,000 GBP
Build and maintain the pricing and risk infrastructure used by the options desk.
Role description
Westren Capital is a London-based proprietary trading firm specialising in digital asset markets. This role sits at the boundary between quantitative research and engineering, building and maintaining the pricing and risk infrastructure our options desk trades on.
Our work sits at the intersection of statistical modelling, market microstructure, and engineering. That requires intellectual honesty, a tolerance for ambiguity, and a willingness to discard ideas that do not survive contact with reality. We operate in small, highly collaborative teams where research, engineering, and trading are tightly coupled.
Responsibilities
Design, build, and maintain options pricing and risk models in C++, working directly with traders and quant researchers on the volatility desk
Implement and optimise pricing libraries that need to be both mathematically correct and fast enough to run in real time
Build tools for volatility surface construction, Greeks calculation, and scenario analysis used directly by traders
Investigate and resolve discrepancies between model output and market behaviour, which happens more often than the model would like to admit
Collaborate with the platform team to integrate pricing infrastructure into the broader trading system
Continuously refine models as market structure and instrument availability evolve
Requirements
Requirements:
Strong C++ skills combined with a solid understanding of options pricing theory (Black-Scholes and beyond) and volatility modelling
Experience building or maintaining pricing and risk systems in a trading environment
Comfortable working directly with traders, translating real-time pricing needs into robust code
Strong mathematical foundation; you understand what the model is doing, not just how to call the function
Python proficiency for research and prototyping alongside production C++ work
Prior exposure to crypto derivatives is an advantage, given how differently the underlying dynamics behave from traditional options markets