Equity Derivatives Quant

Millennium, a leading global investment management firm with over $ 58bn AUM, is 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

• 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

Qualifications / Skills

• 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

The estimated base salary range for this position is $160,000 to $250,000, which is specific to New York and may change in the future. Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. When finalizing an offer, we take into consideration an individual’s experience level and the qualifications they bring to the role to formulate a competitive total compensation package.