Quantitative Trading Strategist

  • Competitive Base & Bonus
  • Philadelphia, PA, USA Philadelphia PA US
  • Permanent, Full time
  • Ashton Lane Group
  • 06 Aug 18 2018-08-06

Provide derivatives hedging solutions within the variable annuity hedging team


  • Develop and expand quantitative libraries for valuing and back-testing vanilla and exotic derivatives
  • Research/develop and recommend derivatives hedging strategies to mitigate risks embedded in variable annuity guarantees. These risks include, but not restricted to, equity risk, interest rate risk, volatility risk, tracking error risk, dividend risk, and credit risk.
  • Design and Implement back-testing tools to evaluate efficacy of developed hedging strategies.
  • Ensure consistent modeling/calibration of assets in trading system and liability hedge models.
  • Produce high level technical presentations on hedging effectiveness, cost benefit analysis, derivative pricing, and valuation methodologies for senior management.
  • Collaborate with stakeholders including Pricing & Product Teams, Asset Liability Management (ALM) Team.
  • Collaborate with hedging operations team to measure and develop P&L attribution.


  • 5+ years’ capital markets quantitative modeling/hedging/trading experience required.
  • Demonstrated solid experience and understanding of hedging/trading risk management practices
  • Strong practical experience developing production valuation models of IR Swap Swaps/ Variance Swaps/CDS/Vanilla options vol surface calibration and market conventions.
  • Knowledge and understanding of investments and enterprise risks preferred
  • Experience with actuarial valuation and/or product development for variable annuities
  • Expert level knowledge of Excel, VBA. Working knowledge of C++
  • Strong analytical, presentation & persuasive abilities with excellent interpersonal skills and strong oral and written communication skills
  • Masters or PhD degree in mathematics, actuarial science, hard sciences, computer science, or related field required

For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com

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