Equity Quant Analyst (Vol Products) - Vice President
- London, England, United Kingdom
- Permanent, Full time
- Charles Levick
- 14 Sep 17
Leading Investment Bank are looking for a VP Equity Quant Modeller to join the team. Must have proven expertise in Vol Products as well as strong maths fundamentals (stochastic/probability).
My client, a tier 1 investment bank, is seeking a high calibre, analytical and numerical individual with strong skills in production software design, a good level of C++/Python and good knowledge in Equity Flow Modelling, to join their Quantitative Analytics team as Equity Quant Analyst (Vol Products) - Vice President.
About Quantitative Analytics
The Global Quantitative Analytics group (QA) is responsible for the research, development and implementation of quantitative models across all asset classes (Interest Rates, Credit, Equity, Foreign Exchange, Commodities, Emerging Markets and Counterparty Risk).
QA's mission is to generate revenue by providing the pricing and risk management solutions and advice needed for Trading, Structuring and Sales to close derivative trades, risk manage them on a sustainable basis, and take strategic positions on derivatives.
About QA Equities
The QA Equities team is responsible for the research, development and implementation of quantitative models used in running ies business globally. The team's modeling work applies to a large spectrum of financial products, including vanilla options, volatility derivatives, delta one products, convertible bonds, equity financing structures. QA Equities also provides the fitting logic needed by the market discovery tools of the volatility surfaces and the repo curves. On top of these strategic axes, the team is involved in more tactical work for trading as we serve as a knowledge base for various impact studies required to assess possible trading/hedging strategies.
In addition to the core modeling activity, QA Equities is actively engaged in the effort to reduce business operating costs in terms of capital requirements and their response to different regulatory requirements. The team operates in New York and London and ensures the convergence of models and tools of clients worldwide.
* Design, development and maintenance of models and infrastructure components
* Liaise with Front Office and Technology, to design and deploy new and strategic pricers and risking systems into production.
* Liaise with IT teams to integrate the models into different IT systems, spanning multiple stakeholders across multiple geographies.
* Design effective testing schemes to deliver high-quality implementation.
* Effective communication with IT teams. Understand and propose solutions when there are any implementation problems.
* Clear and extensive documentation to be written for QA partners.
* Developing and supporting the quantitative research framework using C++, Python and other in-house domain specific languages
* Integration of new pricing risk library to production systems, including price matching exercise of the existing trading position
* Work with trading to formalize their needs and come up with theoretically sound solutions
* Masters or PhD in Mathematics/Computer Science or related field
* Strong skills in production software design in OO programming languages
* Good level of C++/Python knowledge
* Good knowledge in Equity Flow modelling (especially vol products, market data calibration)
* Strong analytical and numerical skills
* Ability to easily switch from one project to the other following the change of priorities
* Passionate about learning domain specific problems in equity derivatives business
* Good written and verbal communication in English
* Familiarity and practical experience with techniques such as machine learning, data mining.
* Understanding of high-performance computing (multi-thread programming, GPU
* Experience with cross-platform development (Windows/Linux)