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2023-01-01

Quantitative Researcher - Equity Volatility

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Millennium Management
Quantitative Researcher - Equity Volatility
New York, US
175,000 - 250,000
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Job Description

Millennium, a leading global investment management firm is assembling a new specialized team of engineers, quants and data scientists to design, build, deploy and operate their next generation research and trading capabilities. The team works jointly with portfolio managers, trading and operations. The culture of the team is entrepreneurial, where work/life balance; ownership and excellence are highly valued.

Responsibilities:

  • Work closely with Quants in London and New York to develop pricing, pre-trade analysis tools and risk analytics for our inhouse pricing library, focusing on equity derivatives
  • Interact with Portfolio Managers to gather requirements, discuss modelling approaches and methodologies for valuation and risk

Requirements:

  • Substantial experience with Equity derivatives modelling, including forward curve and vol surface construction and calibration
  • Experience with Python or C++
  • Solid familiarity with Equity derivative products, including variance derivatives, VIX, barrier options and other derivatives.
  • 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
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