Snr Commodities Quant (VP, Dir), Large Hedge Fund, London & Hong Kong

Employer
Millar Associates
Location
London, United Kingdom
Salary
Competitive Salary
Posted
May 02, 2021
Closes
Jun 10, 2021
Ref
2129062695
Job Role
Other
Sector
Finance
Contract Type
Permanent
Hours
Full Time
Level of qualification
CIMA, Qualified

Commodity Derivatives, Precious Metals, Agriculturals, Trade slanting & C++



RESPONSIBILITIES:

  • Leverage the analytics and front end to build-out a market leading analytics system & library for PMs/Traders
  • Pricing and delta hedging physical optionality.
  • Provide associated risk management tools
  • Pricing model implementation: writing the quant pricing libraries and modelling implied volatility surfaces for various commodities.
  • Build out library functionality for valuation, risk, scenario and VaR calculations for a wide range of OTC and listed derivatives

KEY SKILLS, EXPERIENCE:

  • 3-6 years quant analytics experience covering Commodity Derivatives in the above areas
  • Excellent C++ skills, into a managed pricing library. (Library architecture expertise a plus!)
  • Minimum of Masters educated (PhD preferred) in a Quantitative field (Physics, Maths, Financial Engineering)
  • Good knowledge of Numerical Methods, Stochastic Calculus, Econometrics and Probability, and modelling challenges
  • Good SQL, Excel
  • Excellent ability to communicate with PMs/Traders.