Vacancy detail

Dynamic Index/Modelling – VP level

Location: United Kingdom (London, City of) Type: Permanent Start date: 10/05/2017

Dynamic Index/Modelling – VP level

 

London based

My client is looking for a strategist/quantitative analyst for its Exotic and Dynamic Index Equity Derivative Strat team. 

The team is responsible for implementing and supporting the algorithm indices that are sold by the firm to clients.  The strats are responsible for reviewing the new index termsheet, produce a backtest as well as implement the engine that will do evolution and risk reporting through the firm’s risk systems.  They also ensure that the underlying strategy can be traded i.e. in terms of liquidity, market convention, self-financing aspect & access. They help the trading desk assessing the various trading cost of the strategy (funding, bid ask, etc…).

Responsibilities include:

 

  • Build cutting edge tools for trading and risk managing equity derivatives products.
  • Implement new pricing method and support existing library.
  • Conduct analysis of complex trade to assess the best pricing method.
  • Analyse the risk of the positions currently in the book.
  • Create tools to assist decision making & increase efficiency in trading.

Skills Required

 

  • A degree in a quantitative subject such as Engineering, Applied Mathematics, Physics, Software Engineering.
  • Very strong programming skills in an object oriented language applied within the library of a front office team.  Database knowledge (KDB/SQL) a strong plus.
  • Good knowledge of Probability, Numerical Analysis, Stochastic Calculus, Approximation theory, Partial Differential Equation and an expertise in either of these subjects.
  • Drive and desire to work in an intense team-oriented environment.
  • Ability to communicate effectively in both written and verbal English.

Reference: AMC/JME. To apply for this vacancy: email John Meadowcroft

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