Energy Quantitative Research
The candidate will develop models, implement products, and support the trading desk with model, risk management and applications support in the areas ranging from physical power to oil derivatives.
Core Responsibilities:
- Develop models and implement them in Python and C++ software for pricing and risk managing commodity derivatives
- Develop pricing and calibration tools
- Implement new products using pricing engines and models
- · Explain model behavior and predictions to traders, identify major sources of risk in portfolios, carry out scenario analyses, provide guidance and debug analytics
- Rapid prototyping of models and products
Essential:
- Relevant experience in quantitative modelling and/or derivatives trading desk support in energy. Exceptional candidates with experience in other Commodity asset classes or FX will also be considered.
- Deep understanding of options pricing theory (i.e. quantitative models for pricing and hedging derivatives), with knowledge of futures-based derivatives
- Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis
- Very strong analytical and problem solving abilities
- Python and/or C++ coding with emphasis on numerical methods
- Good communication skills.
- PhD, degree from top tier schools or equivalent
For further information please contact John Meadowcroft on 020 7780 6700 / 020 7025 0420, or alternatively via e-mail John.Meadowcroft@AnsonMcCade.Com
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