A global, multi strategy hedge fund based is looking for a Senior Quant Analyst to work closely with the Head Vol PM and CIO, working on a tail edge strategy
This firm is not a pod shop so you will get the opportunity to contribute to the success of a world-class hedge fund with opportunities for professional growth and leadership development. This is a high impact position.
This is a visible role and with time you can expect to become the Senior Quant in the firm.
You will be pricing equity and credit derivatives and will be responsible for enhancing pricing libraries, improving PnL attribution, managing risk, and contributing to quantitative research projects related to investment strategies.
The successful candidate will be at VP level in a top tier bank (or similar)
Role and Responsibilities:
Derivatives Pricing Development:
- Improve and expand the pricing library for both vanilla and light exotic products, including barrier options, variance swaps, corridor variance swaps, hybrid products, correlation products, and options on baskets.
- Develop and implement robust pricing models for a wide range of derivative instruments, ensuring accuracy and consistency in valuation.
- Collaborate with the risk team to integrate pricing models into the broader risk management framework.
PnL Attribution and Performance Analysis:
- Enhance the P&L attribution process for complex derivatives and structured products.
- Work closely with the risk and trading teams to ensure accurate and timely tracking of P&L.
- Identify and troubleshoot discrepancies in PnL through in-depth analysis of market data and pricing models.
Risk Management:
- Develop and maintain quantitative models for risk management of derivatives positions.
- Ensure that all derivatives strategies are properly hedged, and exposures are monitored and controlled in real time.
- Collaborate with the risk team to assess portfolio risk and optimize risk-return trade-offs.
Quantitative Research & Investment Projects:
- Conduct research on volatility patterns, correlation dynamics, and market behavior to inform investment decisions.
- Apply advanced machine learning (ML) and backtesting techniques to develop innovative pricing, hedging, and trading strategies.
- Work with portfolio managers and traders to identify and exploit new opportunities within the derivative markets.
Skills and Qualifications:
- PhD or Master’s degree in a quantitative field such as Mathematics, Physics, Financial Engineering, Computer Science, or related disciplines.
- Circa 8 years of relevant experience in derivatives pricing, particularly in equity and/or credit.
- Strong knowledge of vanilla and exotic derivatives, including barrier options, var swaps, corridor variance swaps, and options on baskets.
- Proficiency in programming languages such as Python, C++, or similar
- Strong experience in working with pricing libraries, quantitative models, and financial data analysis.
- Familiarity with machine learning and statistical techniques for market analysis, backtesting, and pattern recognition.
The offer:
- Cutting-edge projects: Work on some of the most complex and dynamic derivatives in the market, leveraging advanced quantitative techniques and ML methodologies.
- Collaboration: Work closely with top-tier traders, risk managers, and portfolio managers to enhance our trading strategies and risk management.
- Growth and impact: Contribute to the success of a world-class hedge fund with opportunities for professional growth and leadership development.
