The position is in model and systems development, aligned with the Commodity Exotics derivatives business.

The ideal candidate will be developing models, and implementing products.

You will also be involved in supporting the trading desk with model and applications support in the area of single-asset commodity derivatives. The role highly focuses on oil derivatives. The main responsibilities: Develop models and implement them in C++ software for pricing and risk managing exotic commodity derivatives •  Develop pricing and calibration tools • Implement new products using pricing engines and models •  Explain model behaviour and predictions to traders, identify major sources of risk in portfolios, carry out scenario analyses, provide guidance and debug analytics •  Rapid prototyping of models and products Essential skills, experience, and qualifications: You will ideally have relevant experience in quantitative modelling and/or derivatives trading desk support in Commodities. Preferably focused in oil, base metals or natural gas. •  Exceptional candidates who have experience in Rates, Equity, FX or Credit will also be considered for the role. •  A thorough understanding of options pricing theory (i.e. quantitative models for pricing and hedging derivatives) is needed, combined with a knowledge of futures-based derivatives •  You will need excellent skills in probability theory, stochastic processes, partial differential equations, and numerical analysis •  Strong analytical and problem solving abilities with excellent communication skills are a must for this position. •  C/C++ coding with a key emphasis on numerical methods is vital for the role. A PhD or equivalent degree from top tier schools/programs in Math, Math Finance, Physics, or Engineering is essential.