Snr Equity Derivatives Quant Analyst (Director)
Package circa £300k, London
Top-tier Investment Bank
Front Office Pricing & P&L for Equity-linked, Cash and Derivative products trading, structuring
Fantastic opportunity for an experienced Equities Quant Analyst to join a top-tier investment bank and work on the modeling of equity linked cash and derivative products working closely with trading and structuring teams.
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.
- Manage a small team who are focused on equities modeling.
- Implement new models for pricing & risk management of Equities Linked Derivative and Cash products.
- Documenting and test new and existing models
- Support the pricing library for Front Office Strats, Front Office IT and Risk & Finance
- Excellent experience with equity derivatives is a must
- Strong quantitative analytic, modelling, pricing and risk management skills, with experience gained in financial services
- Excellent understanding of P&L and risk, able to work with traders & structurers
- Strong quantitative skills (stochastic calculus, numerical methods, finite differences, Monte Carlo)
- Innovative, working on best in class solutions for pricing and risk management
- Implementation skills in C++.
- MSc or PhD in Finance, Maths, Physics, Comp Sci, Econometrics, Stats or Engineering
- Excellent communication, presentation & leadership skills