Risk Quant

A leading prop systematic trading firm is looking for a talented modeller \ Quant Analyst to join the Risk and Analytics teams in their New York office.

Please only apply if you have at least 2 years relevant work experience in permanent positions.

You will have exceptional mathematical skills with excellent knowledge of modeling volatility surfaces and the methodologies for pricing derivative instruments. Strong development skills are also necessary as you will be required to work with historical and live data sources. The work product will be used by the firm for risk/analytics as well as for building trading systems.

Responsibilities:

• Develop pricing models for equity derivatives

• Model volatility curves and forecast future volatility

• Run scenario analysis on options portfolios

• Develop strategies for pricing ETFs/ADRs during off-market hours

• Model optimal hedging portfolios

Requirements:

• PhD or Masters in Mathematics or related discipline

• Expert knowledge of options pricing

• Strong coding skills in Python

• Working knowledge of C

• Familiarity with Linux

• Experience with numerical methods such as Monte Carlo, PDE, optimization, etc.

• Strong Statistical skills, including linear/nonlinear forecasting, clustering, etc.

• 2 years experience in a similar position ideal, but willing to consider any candidates with exceptional skills

Please apply to find out further information.