Equity Derivatives Corporate Quant - VP/Director level Equity Derivatives Corporate Quant - VP/Director  …

Anson McCade
in London, United Kingdom
Permanent, Full time
Last application, 10 May 21
perfomance based bonus
Anson McCade
in London, United Kingdom
Permanent, Full time
Last application, 10 May 21
perfomance based bonus
Great opportunity for an experienced equity derivatives quant/strat with corporates expertise to join a growing team.

Equity Derivatives Corporate Quant - VP/Director level

Responsibilities:

  • Supporting the Corporate Trading desks globally in a daily basis (helps in pricing new structures and doing pnl explanation, improve existing framework/models to handle new business needs….)
  • Developing quantitative new pricing models, numerical methods. or improving existing ones in C++ following internal high coding standards and deliver in a timely manner to the production library following release process and testing requirements
  • Developing Python tools for the business (what if scenarios, pnl explanation, risk representations…)
  • Working with Quant Dev in building and maintaining the testing environment
  • Write validation documents and address Model Validation group requirements and questions as a part of the validation process

Requirements:

  • Experience in Equity Corporate (BuyBack pricing and risk management, Collar modelling, Dividend/Borrow cost protection…) business would be great. Alternatively, experience in Equity exotic modelling and PDE pricing
  • Strong quantitative skills (Stochastic Calculus, Numerical Methods (Monte Carlo, strong PDE knowledge), Statistics, Academic Pricing Models…)
  • Strong programming C++/Python skills
  • PhD or Masters in a quantitative financial mathematical discipline
  • Team player and has the curiosity and ability to adapt and learn quickly internal systems and production libraries
  • Meticulous when dealing with development, testing and release processes in a production environment as well as writing validation documents for new and existing models
  • Strong Communication skills are a key in the day to day work within the team as well as internal teams we interact with (Business, Model validation….)
  • Comfortable with working on projects with hard deadlines and deliver in time
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