Financial Engineer

About Intercontinental Exchange

Intercontinental Exchange (NYSE:ICE) is a Fortune 500 company operatinga leading network of global futures, equity, and equity options exchanges, alongside world-class clearing and data services spanning financial and commodity markets.

We place the needs of our customers and global market participants at the forefront of everything we do. As a high-growth organisation, we pioneered transparency and risk management in global derivatives markets. Our team comprisesengineers, strategists, and problem-solvers who continuously innovate technology solutions to address complex market structure challenges.

The ICE Data Derivatives business provides market data, valuation, and analytics services across all OTC derivative asset classes to a global customer base.

We are looking for a Financial Engineerto join the team that builds and maintains the volatility models and exotic pricersused by our clients, including front-office trading desks that rely on our solution to risk-manage their exoticsbooks every day.

You will work on two core areas: fitting implied volatility smiles across Equityand FXand improving the accuracy and stability of our equity and FX exoticspricersand their risks. You will also apply modern AI and machine learning techniques to speed up risk computation.

Your work will directly affect the prices, Greeksand risk numbers that traders and risk managers act on, so precision, robustnessand clear communication matter as much as technical depth.

Responsibilities

Volatility Modelling and Smile Calibration

• Build, improve and maintain analytical and semi-analytical models to fit option smile and surface data across Equity and FX.
• Ensure calibrated surfaces are arbitrage-free, stable over time and robust to noisy or sparse market data.
• Handle asset-class specifics: dividends and borrow for equity, delta and quote conventions for FX.

Exotics Pricing and Risk

• Enhance pricing models and numerical methods (Monte Carlo, PDE, semi-analytical) for equity and FX exotics such as barriers, autocallables, cliquets, basket and worst-of products.
• Improve the accuracy and stability of prices and sensitivities, including smooth Greeks, convergence, handling of discontinuities and consistency between pricing and risk.
• Investigate and resolve pricing and risk issues raised by traders, risk managersand clients, and explain model behaviourin practical terms.
• Contribute to model validation, back-testingand benchmarking.

Next-Generation Risk Analytics

• Leverage advanced AI techniques (e.g.neural-network pricersand calibrators, surrogate models, algorithmic differentiation, Chebyshevor regression-based approximations) to significantly accelerate Value-at-Risk (VaR) and XVA computations.
• Assess the accuracy, stabilityand limitations of accelerated methods against reference pricers, in particular forrisk and hedging use.

AI-Accelerated Development

• Use AI coding tools to speed up the development, testing, refactoring and documentation of pricing and calibration code, and share effective practices with the team.

• Validate AI-generated code rigorously (unit tests, convergence checks, comparison against reference implementations, code review), so that faster delivery does not compromise numerical accuracy or model governance.

Research and Documentation

• Produce rigorous analysis and comprehensive documentation of model methodologies, architecturesand research findings to support transparency, model governanceand knowledge transfer across the organisation.

Large-Scale Data Analysis

• Extract insights from complex, high-volume market and risk datasets to inform model development, diagnose model behaviourand shape business strategy.

Model Interpretation and Client Guidance

• Provide clear explanations of model behaviour(including AI-based models), conduct scenario analysisand deliver actionable analytics to stakeholders such as front-office traders, risk managers, salesand technology teams.

Knowledge and Experience

• Proven experience as a quant in derivativespricing or modelling at a bank, hedge fund, vendoror consultancy.
• Strong knowledge of optionpricing theory, stochastic calculusand volatility modelling (local vol, stochastic vol, local-stochastic vol, smile dynamics).
• Hands-on experience calibrating volatility surfaces and building or validatingexotic optionpricersin equity and/or FX.
• Solid grasp of numerical methods: Monte Carlo, finite-difference/PDE, optimisationand interpolation.
• Strong programming skills in Python and C++ (or a comparablecompiled language), with good software engineering practices (testing, version control, code review).
• Proficiencywith AI coding assistants and agentic tools (e.g.Claude, Codex, Copilot), with a track recordof using them to deliver code, researchand documentation significantly faster, while keeping the rigourexpected of production quant libraries.
• Ability to communicate complex quantitative topics clearly to both technical and non-technical audiences.
• Master’s or PhD in Mathematics, Physics, Financial Engineering, Computer Scienceor a related quantitative field.

Core Competencies

• Rigour and attention to detail, with a focus on numerical stability and risk accuracy.
• Curiosity and willingness to explore new techniques while understanding their limits.
• Ownership of problems from diagnosis through to production delivery.
• A collaborative approach and the ability to work with traders, risk managers and developers.