Hybrids Quant Analyst Hybrids Quant Analyst …

Anson McCade
in London, United Kingdom
Permanent, Full time
Last application, 23 Nov 20
GBP100 - GBP160 per annum
Anson McCade
in London, United Kingdom
Permanent, Full time
Last application, 23 Nov 20
GBP100 - GBP160 per annum
Exotic strats are responsible for implementing and supporting the models used in exotic trading. They also look after automation of the Exotics product flow, including pricing methodology, control of the pricing platform and automated booking. They also assist with tooling for exotics trading, to improve the risk management and hedging infrastructure.

Equity Derivatives Strat - Exotics/Hybrid Modelling - VP level

London based


My client is looking for a strategist/quantitative analyst for its Exotic Derivative Strat team. Strats are key participants, together with traders and sales people, in the revenue-generating activities of the Sales & Trading Division. They sit on the trading desk, are the primary modellers for new products, and team with the traders to deliver innovative ideas using models to analyse risks and opportunities in trading books for complex derivatives.

Exotic strats are responsible for implementing and supporting the models used in exotic trading. They also look after automation of the Exotics product flow, including pricing methodology, control of the pricing platform and automated booking. They also assist with tooling for exotics trading, to improve the risk management and hedging infrastructure.

Responsibilities include:

  • Build cutting edge tools for trading and risk managing equity derivatives products
  • Implement new stochastic processes to value exotic hybrid securities and support the existing library
  • Conduct analysis of complex trades to assess the best pricing method
  • Analyse and manage the risk of the positions currently in the book
  • Create tools to assist decision making & increase efficiency in trading

Qualifications

  • An advanced degree in a quantitative subject such as Engineering, Applied Mathematics, Physics, Software Engineering is mandatory
  • Very strong modelling skills, with knowledge of Exotic Rates models a strong plus
  • Very strong programming skills in an object oriented language applied within the library of a front office team is mandatory
  • Good knowledge of Probability, Numerical Analysis, Stochastic Calculus, Approximation theory, Partial Differential Equation and an expertise in either of these subjects
  • Drive and desire to work in an intense team-oriented environment.
  • Ability to communicate effectively in both written and verbal English.
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