Working for the following desks:

• All commodities trading (cash, options and derivatives) and structuring desks
• Equities derivatives quotation and structuring desks
• Equities flow trading desks (flow exotic products)
• Emerging markets trading desk

You would be involved in:

• Implementing pricers in the pricing library
• Delivering studies on pricing methods for quotation and structuring desks
• Delivering historical studies (backtesting, etc...) on commodities and equities models for all trading desks
• Implementing pricing tools (from the results of those studies) using python and VB

Skills:

• 2-5 years experience as a quant modeling commodity and/or equity and/or interest rate derivative products
• DEA/PhD level education in Mathematics
• Knowledge of Stochastic Calculus, PDE’s, Probability Theory, Derivative Pricing Theory, Black-Scholes and Monte Carlo
• Strong Modeling skills
• Strong programming skills

Please contact John Meadowcroft for more information on this and other roles