Millennium Management
Equity Derivatives Strat / Quant
This job is now closed
Job Description
- Req#: REQ-17900
- Drive the development of a best-in-class Equity Valuations, Risk and PnL Explain platform, with a focus on pricing models for Equity Derivatives products (including volatility surface fitting, and associated Risks / PnL decomposition)
- Maintain and support the existing processes to provide continuous firm wide risk and P&L.
- Review model fitness and quality of calibration for the purpose of pricing and PnL Explain.
- Develop systematic controls to validate critical model inputs used for pricing and risk management.
- Collaborate closely with the Technology, Middle Office, Trading and other Quant groups Present pricing models and findings to senior stake-holders
- An advanced degree or equivalent in a quant subject such as Engineering, Mathematics, or Physics
- Experience in implementing equity derivatives pricing models and risks - e.g. Local Volatility, Bergomi models, Volatility Surface fitting methods
- Strong coding skills in an OO-language
- Detail oriented; Demonstrates thoroughness and strong ownership of work, with a good sense of urgency
- Team player with a strong willingness to participate and help others
Equity Derivatives Strat / QuantWe are assembling a new team to design, implement and operate their next generation platform to provide firm wide real-time valuations, risk and P&L for all Equity products, including listed instruments and exotics.
This is an exceptional opportunity for an experienced sell-side Quant or Strat to join Millennium, with great growth potential.
Responsibilities
Qualifications / Skills
About the company
Millennium is a global alternative investment management firm, founded in 1989, which manages $47.1 billion in assets. We seek to pursue a diverse array of investment strategies across industry sectors, asset classes, and geographies.
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