Equity Derivatives Quant/Strat

2 days ago


New York, United States Anson McCade Full time

Equity Derivatives Quant/Strat – Assoc/VP level

NYC based


Key Responsibilities:


  • Design, development and maintenance of the models and infrastructure components
  • Liaise with Front Office and Technology, to deploy new and strategic pricing risk library to production
  • Enhance the automated volatility fitting process with new features and develop quality measures to assess the quality of the fits
  • Extend back-testing framework with new features, back-test strategies and perform critical analysis of the results
  • Design, implement, back-test tools needed by the trading desks in their day-to-day activities (ranging from market data discovery, to alternative risk views, to signal generation)
  • Research, test and document pricing models


Requirements:


• Masters or PhD in a quantitative field (Mathematics/Physics/Computer Science/Engineering)

• 2+ years of C++/Python knowledge

• 2+ years of experience in equity derivatives (quant) but open to all asset classes


Preferred Skills:


• Experience with cross-platform development (Windows/Linux)

• Experience with volatility fitting

• Familiarity with equity models

• Good written and verbal communication skills

• Passionate about learning domain specific problems in equity derivatives business



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