Vice President, Trading Desk Strategist, AMM Strategies, Institutional Equity Division
Position Category: Equities Sales Trading
Position Title: Vice President, Trading Desk Strategist, AMM Strategies, Institutional Equity Division
Job Level: Vice President
Location: USA - NY - New York
Education Required: Refer to Position Description
Position Description:
Morgan Stanley Co. LLC seeks Vice President, Trading Desk Strategist, AMM Strategies, Institutional Equity Division in New York, NY to analyze profit and cost in various factors and improve portfolio management in aspects involving systematic risks using stochastic control methodologies. Utilize econometric and mathematical tools to enhance realized volatility forecasting models and improve market efficiency in C++ and Python. Identify abnormal trades and build protections against toxic positions due to information asymmetry under a high-frequency environment. Identify abnormal quotes in order to prevent discrepancy in pricing and hedging. Research and describe stock price dynamics and capture desired information from market data acquired from kdb for both high-frequency and multi-day periods. Run statistical tools to study relation of movements on different market dimensions and improve pricing accuracy. Estimate and manage special risks involved during events days. Leverage skills in quantitative finance, programming skills, and statistical analysis, including analyzing equity derivatives pricing; researching and analyzing realized and implied volatility surface models; designing and implementing algorithms to model implied and realized volatility movement; researching market micro-structure in electronic listed options or markets; researching and designing optimal quoting and inventory management algorithms based on stochastic control theory; and implementing quantitative models and algorithms in C++ and q. Calibrate implied volatility surface under arbitrage and technical conditions. Research effect of credit quality of underlying company stock to implied volatility. Build protections against volatility arbitrage across different expiration dates. Formulate and solve stochastic control problems arising from optimal execution under complicated scenarios, including but not limited to across names and periodic patterns, utilizing quantitative modeling, optimization and numerical partial differential equations techniques.
Skills Required:
Ph.D. degree in Mathematics, Engineering, Computer Science, Physics, Chemistry or related quantitative field or equivalent and one (1) year of experience analyzing equity derivatives pricing; researching and analyzing realized volatility models; designing and implementing algorithms to model implied volatility movement; researching market micro-structure in electronic listed options or markets; implementing quantitative models and algorithms in C++; calibrating implied volatility surface under arbitrage and technical conditions; researching effect of credit quality of underlying company stock to implied volatility; building protections against volatility arbitrage across different expiration dates; and identifying abnormal quotes in order to prevent discrepancy in pricing and hedging. In the alternative, employer will accept a Master's degree in Mathematics, Engineering, Computer Science, Physics, Chemistry or related degree or equivalent, and four (4) years of experience in the areas listed above.
QUALIFIED APPLICANTS: Please apply through this website or e-mail your resume to efc131023@msresumes.com. NO CALLS. EOE .
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