Equity Derivatives Quant VP/SVP

We are seeking a highly skilled quantitative professional at the VP/SVP level to join our Equity Derivatives Quant team. This individual will focus on model development and related quantitative aspects of the equity derivatives model library for all equity derivatives, with a higher level of focus on models/analytics solutions for Exotics/Structured Products and Corporate Derivatives. 

Key Responsibilities:

• Communicate and collaborate with trading desk and quant colleagues to design innovative and effective equity derivatives solutions.
• Develop, implement, and maintain pricing models especially for equity exotic derivatives, structured products, and corporate derivatives solutions.
• Deliver quantitative solutions to trading desk via development/improvement of the equity derivative quant frameworks like MC/PDE engines, (vega) hedging and PNL attribution and PNL explanatory analytics, volatility surfaces and fitting, etc.
• Partner with technology teams to integrate new models and analytics into production systems.
• When needed, provide quantitative support for pricing, scenario analysis, and risk assessment of bespoke transactions.
• Stay current on market trends in quantitative techniques, research on exotic/structured equity derivatives, volatility modeling and relevant regulatory developments.

Qualifications:

• Education:
  • Advanced degree (Master’s or PhD) in Mathematics/Applied Maths, Physics, Engineering, Financial Engineering, or related quantitative discipline.
• Experience:
  • Minimum 4 years in relevant roles (ideally a comparable Front Office role) within equity derivatives quant area.
    • Background and product knowledge in exotic equity derivatives, structured products and corporate derivatives is a plus.
  • Experience with working in and delivering solutions via a multi-developer derivatives model library. 
• Technical Skills:
  • Strong foundations in stochastic calculus, risk-neutral pricing and Greeks.
  • Knowledge of numerical solvers like Monte Carlo simulation (ideally including American Monte-Carlo) and PDE methods, ability to work with optimizers.
  • Knowledge of volatility models like local volatility, stochastic volatility, stochastic rates models as used in equity derivatives.
  • Proficiency in a relevant programming language such as C# or C++ (Python is a plus).
  • Understanding of PnL attribution methods and PNL explanatory methods, curve and volatility scenarios.
  • Good understanding of volatility surface representations and fitting. 

Primary Location Full Time Salary Range of $175,000 - $300,000. 

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