Vice President, Equity Derivatives Strategist

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Morgan Stanley USA
  • 25 Apr 19

Vice President, Equity Derivatives Strategist

Morgan Stanley & Co., LLC seeks a Vice President, Equity Derivatives Strategist in New York, New York

Implement and support analytical models used for valuation, risk management, or product development. Perform sophisticated quantitative analyses and create primary models for new complex derivatives. Review the deal term sheets, ensure the contractual agreement matches with the implemented payoff, and that the underlying risk factor's dynamics are well represented and feed correctly through the firm's risk system. Continuously improve the analytics library in terms of modelling accuracy and efficiency. Understand and analyze a broad spectrum of Firm's financial products. Build cutting edge tools for trading and risk managing equity derivatives products. Conduct analysis of complex trades to assess the best pricing method.

Qualifications:

Requirements :

Requires a PhD in Physics, Mathematics, Engineering, or related quantitative field of study and two (2) years of experience in the position offered or two (2) years of experience as Associate, Quantitative Researcher or related occupation in the financial services industry. Requires two (2) years of experience with: linear algebra; numerical linear algebra; least squares multivariate regression; LASSO regression; multivariate optimization; linear programming; quadratic programming; calculus; partial differential equations; probability theory; Monte Carlo methods; stochastic processes; stochastic calculus; programming in C++; Java; Excel; programming in R; object oriented programming; and volatility indices including VIX. Will accept any amount of experience with: numerical partial differential equations; finite differences method; finite elements method; dynamic programming; option pricing theory; change of numeraire technique: Python or Matlab; equity derivatives including vanilla options; barrier options; digital options; basket options; cliquet options; variance swaps; the local volatility model; and stochastic volatility models.

Qualified Applicants :
To apply, visit us at http://www.morganstanley.com/about/careers/careersearch.html Scroll down and enter 3129781 as the "Job Number" and click "Search jobs." No calls please. EOE
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