Snr Equity Vol Quant (VP, Dir), Large Hedge Fund, New York Snr Equity Vol Quant (VP, Dir), Large Hedge Fund,  …

Millar Associates
in New York, NY
Permanent, Full time
Last application, 29 Nov 21
Total to $400k + Benefits
Millar Associates
in New York, NY
Permanent, Full time
Last application, 29 Nov 21
Total to $400k + Benefits
Posted by:
Craig Millar • Recruiter
Posted by:
Craig Millar
Recruiter
This leading Asset Manager firm has over 250 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.

Flow Equity Derivatives, Vol, Modeling, Variance Modeling, VIX, etc., & C++

RESPONSIBILITIES:

  • Leverage the analytics and front end to build-out a market leading analytics system & library for PMs/Traders
  • Create & implement new equity derivative pricing models across, e.g. Vol & Variance modeling, Constant Forward Skew, Vol wings, dividend & limit behaviour, etc.
  • Provide associated risk management tools
  • Deliver analytics documentation and test material
  • Build out library functionality for valuation, risk, scenario and VaR calculations for a wide range of OTC and listed derivatives

KEY SKILLS & EXPERIENCE:

  • 4-8 years quant analytics experience covering Equity Derivatives & Vol modelling
  • Excellent C++ skills, into a managed pricing library. (Library architecture expertise a plus!)
  • Masters educated (PhD preferred) in a Quantitative field (Physics, Maths, Financial Engineering)
  • Good knowledge of Numerical Methods, Stochastic Calculus, Econometrics and Probability, e.g. modelling challenges of Variance (e.g. variance reduction techniques), Forward Skew, Vol wings, barrier shifts, etc.)
  • Good SQL, Excel 
  • Excellent ability to communicate with PMs/Traders and clients
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