Computer Science Intern (Greeks computation by using algorithms)
Gland
03.09.2019 | Position with re­spon­si­bil­i­ties | 100%

Computer Science Intern (Greeks computation by using algorithms)

Company Description

Join a Fintech Pioneer ! Digital technology is deeply rooted in our DNA. Since our Company’s creation in 1996 by two EPFL engineers, we have used it to democratise banking and allow our clients to make independent decisions on our web platforms. We rely on more than 250 engineers (software engineers, front-end developers, software architects, DevOps engineers and data architects) to improve our solutions. Cryptocurrencies, Artificial Intelligence, Robo-advisory, Virtual Reality... There is no limit to what we can do to revolutionise the financial world !

We are currently looking for our new Computer Science Trainee (6 months) who is enrolled in a Master in Computer Science/Communication Systems and looking for a Master Project. 

Job Description

The project’s goal is to improve Greeks computation by using up-to-date algorithms and provide a reliable and efficient solution.

In mathematical finance, the term "Greeks" describes a set of variables representing the dimensions of risk involved when trading derivative products such as Options or Warrants, and measure the sensitivity to changes in underlying parameters. 

Greeks encompass many variables, each one holding with a value that reflects how the derivative moves, or the risk associated with that derivative. They are used by traders to hedge risk and understand how their profit and loss could behave as prices evolve.

Your role:

  • Analyze, design and implement a distributed, on-demand and reliable algorithm for Greeks computation. If time allows, integrate the algorithm with existing systems within the Bank
  • Understand derivative products, risk and Greeks computation
  • ·Understand the requirements of on-site stakeholders, analyze the constraints and choose a feasible solution within these constraints
  • Develop a complex algorithm that requires non-trivial data as input and validate results
  • Develop a REST client and integrate the solution with critical production systems

Qualifications

  • Currently enrolled in a Master in Computer Science/Communication Systems
  • Very good knowledge of Java and Python

Additional Information

SQ1

Job Location

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