Snr Equity Vol Quant (VP, Dir), Large Hedge Fund, New York

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Job description

Flow Equity Derivatives, Vol, Modeling, Variance Modeling, VIX, etc., & C++

RESPONSIBILITIES:

• Leverage the analytics and front end to build-out a market leading analytics system & library for PMs/Traders
• Create & implement new equity derivative pricing models across, e.g. Vol & Variance modeling, Constant Forward Skew, Vol wings, dividend & limit behaviour, etc.
• Provide associated risk management tools
• Deliver analytics documentation and test material
• Build out library functionality for valuation, risk, scenario and VaR calculations for a wide range of OTC and listed derivatives

KEY SKILLS & EXPERIENCE:

• 4-8 years quant analytics experience covering Equity Derivatives & Vol modelling
• Excellent C++ skills, into a managed pricing library. (Library architecture expertise a plus!)
• Masters educated (PhD preferred) in a Quantitative field (Physics, Maths, Financial Engineering)
• Good knowledge of Numerical Methods, Stochastic Calculus, Econometrics and Probability, e.g. modelling challenges of Variance (e.g. variance reduction techniques), Forward Skew, Vol wings, barrier shifts, etc.)
• Good SQL, Excel
• Excellent ability to communicate with PMs/Traders and clients