Snr Equity Derivatives Quant Analyst (Director)

London
Ref: SEDQA-1608
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.

RESPONSIBILITIES:

  • 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

EXPERIENCE REQUIRED:

  • 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