Snr Equity Vol Quant (VP), Large Hedge Fund, LDN and Hong Kong

London
Ref: QACE-0402
Total comp £250K + Benefits
Leading Asset Management Firm
Equity Derivatives, Forward Vol, Variance Swaps, Forward Skew, VIX, etc., & C++

This leading Asset Manager firm has over 200 staff and offices in London, Hong Kong, and New York.  Their Quant team develop the core Quant analytics library (in C++) and provide front office tools for traders/PMs. Their platform is considered an industry leader in trading analytics, risk analysis and operational robustness, delivering pricing, scenario, risk and P&L for their portfolios and the ability to structure and overlay new positions. This is an exciting opportunity to join a rapidly growing business with a strong track record.

RESPONSIBILITIES:

  • Leverage the analytics and front end to build-out a market leading analytics system & library for PMs/Traders
  • Create & implement new equity derivative pricing models for across Vol & Variance Swaps, Constant Forward Skew, Vol wings, dividend & limit behaviour, etc.
  • Provide associated risk management tools
  • Deliver analytics documentation and test material
  • Build out library functionality for valuation, risk, scenario and VaR calculations for a wide range of OTC and listed derivatives

KEY SKILLS, EXPERIENCE:

  • 3-6 years quant analytics experience covering Equity Derivatives & Vol modelling
  • Excellent C++ skills, into a managed pricing library. (Library architecture expertise a plus!)
  • Minimum of Masters educated (PhD preferred) in a Quantitative field (Physics, Maths, Financial Engineering)
  • Good knowledge of Numerical Methods, Stochastic Calculus, Econometrics and Probability (e.g. modelling challenges of Variance swaps (e.g. variance reduction techniques), Forward Skew, Vol wings, barrier shifts, etc.)
  • Good SQL, Excel 
  • Excellent ability to communicate with PMs/Traders.

DESIRABLE:

  • Any previous Commodities experience will be welcome but not essential (e.g. precious metals, agricultural commodities, trade slanting, etc)