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.

Responsibilities:

Work closely with Quants in London, Geneva & New York to research and develop pre-trade analysis tools and risk analytics for our in-house pricing library. The candidate will play a significant part in building the Commodity quant library from scratch.

Requirements:

Previous experience with developing Commodity pricing models
Extensive experience with the energy market: oil, gas, power.
Best practices methodology to build commodity curves
Best practices methodology to model and build commodity vol surfaces
Prior experience with (to name a few): Vol surfaces, Asian Options, Crack (Gas & Brent)
Substantial modern C++ programming experience
Knowledge of other asset classes, including Interest Rate, FX is a plus.
Strong analytical and mathematical skills
Strong problem solving capabilities
Solid communication skills
Able to work independently in a fast-paced environment.
Detail oriented, organized, demonstrating thoroughness and strong ownership of work