[JOB] Job opportunity for compiling DSLs and automatic differentiation in finance


My team at Numerix LLC (www.numerix.com) is spinning up what I expect to be a long term effort using LLVM to generate fast code for calculations on financial instruments.

One area we will apply apply LLVM is compiling instead of interpreting our domain specific language (DSL) that our customers use for modeling complex financial instruments to dramatically improve performance.

A less orthodox application is for automatic differentiation, both in adjoint and tangent modes, and both from the DSL above and from C++ through operator overloading. By recording the sequence of operations that produce a result, you can find the derivatives of that result with respect to many inputs accurately. With LLVM we expect to also do that efficiently.

I’m interested in hiring someone for the managing LLVM interaction, IR generation and optimization passes, so our preference is for someone experienced with using the LLVM library. This work is part of a much larger simulation system, so there are many opportunities for professional growth. Compensation commensurate with experience.

Most of my team is located in Santa Fe, but we also have team members in New York and Vancouver. Any of those locations would be best, but working remotely would be possible for the right candidate.

Please feel free to contact me at karmesin@numerix.com with any questions, interest or referrals.

-steve karmesin