Snr Commodities Quant (VP, Dir), Large Hedge Fund, London & Hong Kong
Total comp £250K + Benefits
Leading Asset Management Firm
Commodity Derivatives, Precious Metals, Agriculturals, Trade slanting & 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.
- Leverage the analytics and front end to build-out a market leading analytics system & library for PMs/Traders
- Pricing and delta hedging physical optionality.
- Provide associated risk management tools
- Pricing model implementation: writing the quant pricing libraries and modelling implied volatility surfaces for various commodities.
- 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 Commodity Derivatives in the above areas
- 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, and modelling challenges
- Good SQL, Excel
- Excellent ability to communicate with PMs/Traders.