Equity Derivatives Quantitative Vice President Senior Vice President

Overview

Responsibilities

• Communicate and collaborate with trading desk and quant colleagues to design innovative and effective equity derivatives solutions.
• Develop, implement, and maintain pricing models especially for equity exotic derivatives, structured products, and corporate derivatives solutions.
• Deliver quantitative solutions to trading desk via development/improvement of the equity derivative quant frameworks like MC/PDE engines, (vega) hedging and PNL attribution and PNL explanatory analytics, volatility surfaces and fitting, etc.
• Partner with technology teams to integrate new models and analytics into production systems.
• When needed, provide quantitative support for pricing, scenario analysis, and risk assessment of bespoke transactions.
• Stay current on market trends in quantitative techniques, research on exotic/structured equity derivatives, volatility modeling and relevant regulatory developments.

Preferred Qualifications

• Advanced degree (Master’s or PhD) in Mathematics/Applied Maths, Physics, Engineering, Financial Engineering, or related quantitative discipline.
• Experience with working in and delivering solutions via a multi-developer derivatives model library.
• Strong foundations in stochastic calculus, risk-neutral pricing and Greeks.
• Knowledge of numerical solvers like Monte Carlo simulation (ideally including American Monte-Carlo) and PDE methods, ability to work with optimizers.
• Proficiency in a relevant programming language such as C# or C++ (Python is a plus).
• Understanding of PnL attribution methods and PNL explanatory methods, curve and volatility scenarios.
• Good understanding of volatility surface representations and fitting.