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Equity Derivatives Quant

Millennium Management
Equity Derivatives Quant
New York, US
160,000 - 250,000
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Job Description

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.


  • 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.

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