This leading Asset Manager firm has over 300 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.
Flow Equity Derivatives, Vol, Modeling, Variance Modeling, VIX, etc., & C++
- 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 across, e.g. Vol & Variance modeling, 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:
- 4-8 years quant analytics experience covering Equity Derivatives & Vol modelling
- Excellent C++ skills, into a managed pricing library. (Library architecture expertise a plus!)
- 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 (e.g. variance reduction techniques), Forward Skew, Vol wings, barrier shifts, etc.)
- Good SQL, Excel
- Excellent ability to communicate with PMs/Traders and clients