Vice President, Exotics Desk Strategist, Equity Derivatives Strategist recruitment
Position Category: Fixed Income Sales Trading
Position Title: Vice President, Exotics Desk Strategist, Equity Derivatives Strategist
Job Level: Vice President
Location: USA - NY - New York
Education Required: Refer to Position Description
Position Description:
Morgan Stanley Co. LLC seeks Vice President, Exotics Desk Strategist, Equity Derivatives Strategist in New York, NY to build tools and models for risk and opportunity analysis in complex exotic derivatives trading books, to guide strategic long-term solutions and support revenue-generating activities of the Exotic Derivatives trading desk, providing associated structurers and risk controllers with a range of numerical analytical services. Convert client term sheets to new product definitions in C++ for allowing traders to book and manage risk for range accruals, interest rate/equity hybrids, exotic cliquets, ladder options, options on excess return, compound options, quanto options, options on options and volatility target options. Analyze scenarios to optimize vanilla hedges for more complicated derivative products such as knock in variance swaps, options on commodity futures and conditional variance swaps. Estimate the effect on valuation and risk of stochastic interest rates, stochastic volatility and jumps on exotic cliquets, options on volatility, margin loans, interest rate/equity hybrids, barrier options, ladder options, reverse convertibles and knock in variance swaps. Read and understand peer reviewed mathematical finance papers. Design specifications for the marking of long dated derivative contracts. Implement and support models such as local volatility models, stochastic volatility models, jump diffusion models and stochastic interest rate models, using techniques including Monte Carlo, lattice methods, and numerical methods for partial differential equations using C and C++. Design technology infrastructure for model implementation where price, risk, and analysis are presented. Provide tactical trader-efficient tools and solutions to help traders price derivative contracts and manage risk using VBA, C#, Perl, SQL, Java, and Excel. Design model specifications based on logic or pseudo code, guiding and supervising the writing of program code by others.
Skills Required:
Ph.D. degree in Statistics, Mathematics, Computer Science, Physics, or related quantitative field or equivalent, and three (3) years of experience building, implementing, and supporting models for Equity Derivatives trading on behalf of a global financial services institution. Prior experience must include analyzing and pricing derivative contracts including barrier options, vanilla options, variance swaps, volatility target options, reverse convertibles, range accruals, margin loans, conditional variance swaps, options on volatility, and interest rate/equity hybrids; working with traders to analyze trade ideas and assess risk of new trades; and writing computer program code using C, C++, Excel, VBA, SQL, and Perl.