Snr Equity Derivatives Quant Analyst (Director)

London
Ref: SEDQA-1608
Superb Package including Front Office Bonus
Top-tier Investment Bank
Equity Derivatives, Equity-Linked & Cash Products

Fantastic opportunity for an experienced Equities Quant Analyst to join a top-tier investment bank and work on the modeling of derivative and equity-linked cash and products.

The bank combines world-class research with trading and structuring expertise to clients across a wide range of markets, products and regions. The Pricing & P&L Library supports the trading and risk management of Cash and Derivatives in all asset classes of the Bank including Rates, Credit, FX, Commods, Equities, Inflation, MM, Mortgages, Hybrids, & EM.

RESPONSIBILITIES:

  • Maintaining models & implementing new models for pricing & risk management of Equities Linked Derivative and Cash products
  • Documenting and testing new and existing models
  • Support the pricing library for Front Office Strats, Front Office IT and Risk & Finance
  • Manage a small team who are focused on equities modeling.

EXPERIENCE REQUIRED:

  • Excellent experience with equity derivatives is a must (e.g. Variance products, Cross-region Index products, Waterfall indices, etc.)
  • Strong quantitative analytic, modelling, pricing and risk management skills, with experience gained in financial services
  • Strong quantitative skills (stochastic calculus, numerical methods, finite differences, Monte Carlo)
  • Innovative, working on best in class solutions for pricing and risk management
  • Strong implementation skills in C++
  • Excellent understanding of risk and P&L reports
  • MSc or PhD in Finance, Maths, Physics, Comp Sci, Econometrics, Stats or Engineering
  • The ability to communicate effectively across multiple teams with excellent presentational skills
  • Strong interpersonal skills & able to run multiple projects against tight deadlines