Company Profile

Founded in 1997, Calypso Technology is a rapidly growing, profitable, privately-held company which provides leading edge software solutions to the global financial services industry.  Our company was built and funded without venture capital investment, is debt-free, cash positive, and well positioned in the competitive marketplace.

Calypso provides a single turn-key Java-based platform for trading and trade processing and provides real-time, event-driven processing that enables global financial institutions to provide integrated solutions across all asset classes, from foreign exchange and equities to fixed income and credit derivatives.

Calypso provides software solutions to many of the premiere financial institutions world-wide including Citigroup, Dresdner Bank, HSBC, ING, Royal Bank of Scotland, Wachovia, Bear Stearns, Sumitomo Trust, BNP Paribas, Barclays Global Investors and Wells Fargo.

In addition to our headquarters in San Francisco, our 300+ person global workforce is strategically located in New York, London, Paris, Frankfurt, Sydney, Singapore, Tokyo, Copenhagen, Johannesburg and Mumbai.  Our global presence offers international exposure, experience and travel for many of our employment positions. The London office is located in the City of London.

Job Description Overview

We are seeking a Financial Engineer with good expertise in one or more of FX, Equity or Interest Rate derivatives. Responsibilities include developing algorithms for pricing and risk management, testing, documentation as well as interaction with clients.  Experience of OO programming and Java or C++ preferred.

Primary Responsibilities

• Developing and enhancing pricing models for specific asset classes
• Keeping abreast of market standard models and research into new models
• Enhancing and supporting existing pricing model analytics
• Testing and documenting pricing algorithms
• Communicating FE-related issues internally as well as externally to clients and prospects

Skills & Requirements:

• An understanding of financial mathematics (PDE, SDE, stochastic calculus, numerical solution techniques, Monte Carlo) is a must.
• Experience with programming numerical methods, such as solving differential equations

• Familiarity and experience with pricing algorithms of financial derivatives, market data generation, calibration of models and hedging and risk analysis is essential.
• Expertise in one or more of FX, Equity or Interest Rates.
• Good oral and written communication skills are essential.
• Background in software development is a plus.
• M.S. / MBA or PhD in finance, mathematics, physics, engineering or equivalent disciplines.

Calypso offers career development opportunities and a competitive compensation package, which includes a discretionary performance-based bonus and a comprehensive benefits package. 

Calypso Technology is an equal opportunity employee (EOE) and strongly supports diversity in the workforce.