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VP Equity Derivative Quantitative Strat

3 months ago

New York, United States Selby Jennings Full time

VP Equity Derivative Quantitative Strat - NYC

A Tier 1 Global Investment Bank is looking to bring on a strong quantitative strategist to join their growing Equity Derivatives team. This team interacts closely with the trading desk allowing for challenging and engaging problems with excellent business exposure.



Job responsibilities include:

  • Research, design and implement equity derivative models and infrastructure
  • Algo research for implied volatility models such as Back-Scholes, Heston and SABR
  • Use of local volatility models and stochastic volatility models to capture the volatility surface
  • Development and implementation of optimization algorithms to automize the vol fitting process.
  • Design, develop and implement tools for the trading desk including back-testing tools, market data tools and signal generation tools. .


Job requirements include:

  • MS/PhD in a quantitative subject, Mathematics, Physics, Statistics, etc.
  • Strong C++ or Python modeling or development skills
  • 2+ years of quant experience in the equity derivative space
  • Experience with volatility modeling/fitting
  • Excellent written and verbal communication skills