Snr Commodities Quant (VP, Dir), Large Hedge Fund, London & Hong Kong Snr Commodities Quant (VP, Dir), Large Hedge Fund,  …

Millar Associates
in London, United Kingdom
Permanent, Full time
Last application, 05 May 21
Total comp £250K + Benefits
Millar Associates
in London, United Kingdom
Permanent, Full time
Last application, 05 May 21
Total comp £250K + Benefits
Posted by:
Craig Millar • Recruiter
Posted by:
Craig Millar
Recruiter
This leading Asset Manager firm has over 200 staff and offices in London, Hong Kong, and New York. Their Quant team develop the core Quant analytics library (in C++) and provide front office tools for traders/PMs. Their platform is considered an industry leader in trading analytics, risk analysis and operational robustness, delivering pricing, scenario, risk and P&L for their portfolios and the ability to structure and overlay new positions. This is an exciting opportunity to join a rapidly growing business with a strong track record.

Commodity Derivatives, Precious Metals, Agriculturals, Trade slanting & C++

RESPONSIBILITIES:

  • Leverage the analytics and front end to build-out a market leading analytics system & library for PMs/Traders
  • Pricing and delta hedging physical optionality.
  • Provide associated risk management tools
  • Pricing model implementation: writing the quant pricing libraries and modelling implied volatility surfaces for various commodities.
  • Build out library functionality for valuation, risk, scenario and VaR calculations for a wide range of OTC and listed derivatives

KEY SKILLS, EXPERIENCE:

  • 3-6 years quant analytics experience covering Commodity Derivatives in the above areas
  • Excellent C++ skills, into a managed pricing library. (Library architecture expertise a plus!)
  • Minimum of Masters educated (PhD preferred) in a Quantitative field (Physics, Maths, Financial Engineering)
  • Good knowledge of Numerical Methods, Stochastic Calculus, Econometrics and Probability, and modelling challenges
  • Good SQL, Excel
  • Excellent ability to communicate with PMs/Traders.
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