Equity Derivatives Quant Modeller (VP), New York

New York
Ref: EQM-2404
Package circa $300k
Top-tier Investment Bank
Front Office Modelling & P&L for Equity-linked, Cash and Derivative products

KEY RESPONSIBILITIES:

  • Maintain existing models, implement new models for pricing & risk of equity linked products.
  • Document & test models
  • Supporting the analytics library to strats, trading, GTO, Risk and Finance

KEY SKILLS & EXPERIENCE:

  • Education: PhD (preferred) in Maths, Physics or Finance
  • 4+ years of experience in the financial services industry working on pricing models.
  • Knowledge of equities derivatives modeling is a must.
  • Strong quantitative skills (stoch calc, numerical methods, finite differences, Monte Carlo)
  • Some exposure to models of the term structure of interest rates is desirable.
  • Good programming skills (C++)
  • Strong interpersonal skills
  • Excellent spreadsheet ability

PERSONAL ATTRIBUTES:

  • Able to work with stakeholders in strats, trading, technology, Risk and Finance
  • Innovative, working on best in class solutions for pricing and risk management
  • Disciplined, properly documenting and testing models