Quantitative Analyst
The team seeks a Quant experienced in both pricing and data modeling for a cross-asset team.
The ideal candidate will have specific experience in Equity Derivatives, (but any cross-asset experience is considered).
RESPONSIBILITIES
- Design algorithms for the automatic and statistical validation of market data and their aggregation into composite sources.
- Build quantitative models around exchange-listed and OTC instruments to calibrate forward curves and volatility surfaces for use in pricing models.
- Attribute pricing and hedging discrepancies appropriately to market data artifacts; and communicating these findings to internal and external clients as necessary.
- You will be responsible for all aspects of quant activities ranging from model research and prototyping to production implementation, deployment, and on-going maintenance, as well as interaction with internal and external clients.
REQUIREMENTS
- Three to six years of experience with equity derivatives pricing and data modeling.
- Mathematical finance, experience with models in equity derivatives and knowledge of numerical methods.
- Experience with the validation and manipulation of listed and OTC data to create methodologies for curve and volatility surface construction. Experience in time series and statistics is a plus.
- Strong knowledge of equity derivative products and market conventions.
- Strong C/C++ programming skills in a production environment required.
- Strong oral and written communication skills and ability to thrive in a team environment.
- Ph.D. in mathematics, finance, physics, engineering or related field
To learn more about this opportunity please email your CV to mandates@obtainconsulting.com
We welcome tentative applications and speculative enquiries. For market updates or to learn more about the mandates Obtain Consulting Group are currently instructed on, get in touch with our senior consultants on +44 203 290 1767.
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