Math Finance Summer Intern - London
Position Summary
Programme starts June 2025
Duration: 12 Weeks
The Strats & Modelling team is responsible for designing, building and maintaining the algorithms at the heart our services. This typically involves creating a model for a linear of convex optimisation problem and interpreting the solution of that problem as a set of financial transactions that should be executed to improve some aspect of a derivatives portfolio. While we use a commercial optimization library for the optimisation itself, the scale of the problems that we encounter mean that we are on the leading edge of what today’s software can handle and so we need to have a deep understanding of the behaviour of the algorithms.
The successful candidate will work as part of a small team of 5-7 strats to build and research improvements to the Compression engine. They will work directly with the Product Development team to enhance the product, based on feedback from clients and analysis of runs, as well as on strategic projects.
Role Responsibilities
Examples of projects include:
- Develop new scaling scheme to improve reliability and performance
- Use the solution of our current MIP optimiser as a starting point to a non-linear solver. This would allow greater flexibility in the solutions we propose.
- Investigate how sensitive the solution is to small changes in the data to understand which constraints we should relax for maximum impact
- Introduce new variables in the optimiser to allow variable hedge rates in our proposals
- Improve the runtime performance by investigating and adding heuristics to reduce the data set and solution search space
- Develop new functionality to better validate incoming risk data prior to optimisation.
Experience and Qualifications Required
Desired skills:
- Solid understanding of python for numerical programs. Familiarity with pandas and numpy
- A strong mathematical background (numerical methods, linear algebra, probability & statistics)
- Understanding of linear programming, mixed integer programming and convex optimisation
- Knowledge of Interest Rate Swaps
- Excellent problem-solving skills
Applications Close: 27 November. However, we recommend an early application because we consider candidates on a rolling basis. Depending on the volume of applications, we may close the application process earlier.
