Analyst

About the Role

The Quantitative Trading & Research (QTR) Equity Derivatives team is seeking a junior quant to focus on exotic products. The objective is to drive and implement analytics, optimization, and modeling for Equity Exotic trading, with an immediate focus on building robust trade booking, analytics, and model validation layers.

As an Analyst for the Equity Derivatives Exotics QTR team, you will make extensive use of quantitative techniques, including machine learning, to deliver end-to-end solutions for the business. This includes introducing a systematic framework to develop derivative products, strengthen risk and P&L control, facilitate lifecycle management, developing derivative pricing and lifecycle models, and identifying and monitoring associated model risks. Adherence to the highest standard of development, testing, and deployment life cycle is important for this role, working with the broader QTR team and technology.

Key Responsibilities

• Develop a framework and key components to develop derivative products including life cycling and model validation, using dependency-graph programming and Python.
• Model derivative products using C++ - Python hybrid programming to meet business requests.
• Drive payoff innovation using the product design framework and machine learning techniques.
• Streamline product review under the product design framework and provide clear model documentation to facilitate model approvals.
• Evaluate quantitative methodologies, including identifying and monitoring model risks associated with derivative valuation models.
• Support trading activities by explaining model behavior, identifying major sources of risk in portfolios, and carrying out scenario analyses.

Requirements & Tech Stack

• Prior experience in a front-office quantitative research role.
• Strong programming skills in C++, Python, and numerical packages.
• Experience with statistical analysis and machine learning.
• Experience with derivatives pricing models and equity derivatives products.
• Solid understanding of the application of Monte-Carlo simulation and finite-difference PDE in derivative pricing.
• Experience or good knowledge in dependency-graph programming.
• Ability to communicate effectively with business stakeholders.

Qualifications

• Master degree in a quantitative field from a top university.