This is a great opportunity for an experienced quant with experience ideally in equity market data modelling and calibration to help with the existing equity portfolio and help and growing corporate business.
Equity Derivatives Strat - VP level
This strats team focuses on the support of the activity of liberating consumption of businesses or transactions no longer strategic and works in coordination with the Strategic Analytic Effort in order to support the Equity products within both the Legacy Equity business and the Core IB.
You will join the team which sits on the trading floor and play an integral part in the day to day operation of trading and risk management. While being primarily part of this business, the role will also involve taking part in the development of strategic equity derivatives analytics for the FICC business.
- Simplify, enhance and extend the automation of equity market data marking including volatility, dividend and repo curves.
- Devise and implement any new market data calibration methodology as required.
- Collaborate with Trading, Technology, Control Functions and Market Risk to support the existing automated control framework and improve methodologies as required, e.g. computation of the forward and volatility, quantification of market data observability.
- Providing support to the trading desks to ensure smooth trading operation including supporting existing risk reports and providing ad-hoc pricing and risk analysis.
- Strong computing and programming skills, professional experience in Python highly desirable.
- Experience in equity market data modelling and calibration is highly desirable.
- An understanding of Derivatives Pricing Theory is beneficial.
- Educated to Master's degree level or equivalent qualification/relevant work experience, a Masters in a relevant subject such as Software Engineering, Applied Mathematics would be beneficial.
- Knowledge of financial markets and trading best practice