Quantitative Analyst

4 weeks ago


Reston, Virginia, United States Anson McCade Full time

Equity Derivatives Quantitative Modeling and Strategy Specialist

About the Role:

Anson McCade is seeking a highly skilled Equity Derivatives Quantitative Modeling and Strategy Specialist to join our team. As a key member of our derivatives modeling group, you will be responsible for designing, developing, and maintaining models and infrastructure components.

Key Responsibilities:

  • Design and develop models and infrastructure components to support equity derivatives trading activities.
  • Liaise with Front Office and Technology teams 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, and back-test tools needed by the trading desks in their day-to-day activities.
  • 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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