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Quant Researcher - Commodities

Millennium Management
Quant Researcher - Commodities
London, GB
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Job Description

Quant Researcher - Commodities

Millennium is a top tier global hedge fund with a strong commitment to leveraging innovations in technology and data science to solve complex problems for the business. We are assembling a strong Quant Technology team to build our next generation in-house analytics and trader support tools. This team will sit under the Fixed Income & Commodities Technology (FICT) group and will develop and maintain the in-house pricing libraries to support trading in Fixed Income, Commodities, Credit, and FX business at Millennium. FICT provides a dynamic and fast-paced environment with excellent growth opportunities.


  • Newly-created role to research, build, enhance, test and maintain commodities quantitative models specialized for the needs of risk managers.
  • Work closely with derivatives quants and data scientists in London, Bangalore, Geneva, Tel Aviv, Miami and New York to research and develop risk analytics for our commodities business.
  • The emphasis is on models for derivatives, including calculation and aggregation of raw risk metrics (the Greeks), risk projections, handling timeseries data for the construction of price and volatility scenarios, modeling of Value at Risk (VaR) with both historical and factor-based approaches.
  • Additional emphasis on risk-related topics deriving from the modeling of commodities fundamentals.


  • Previous experience with quantitative modeling of commodity derivatives. Specifically, researching and building risk models for commodities is a plus.
  • Practical familiarity with at least one of the commodities asset classes, such as energy, ags and softs, or base metals.
  • Substantial hands-on experience with python with an associated tool stack for high-performance numerical computation.
  • Solid communications kills.
  • Able to work independently in a fast-paced environment.
  • Detail oriented, organized, demonstrating thoroughness and strong ownership of work.
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