Derivatives Quant Strat

2 weeks ago


Greater London, United Kingdom Mondrian Alpha Full time

The Firm

We are working with a leading market maker that provides billions of dollars of liquidity to token issuers, traders, investors, and exchanges globally. The firm is looking to expand its Quant Team and is looking to onboard a Quantitative Strategist in London.


The Role

The successful candidate will have extensive derivatives knowledge to deliver a fast and quality production analytics code base. They will also be supporting the trading desk to generate revenue by providing quantitative analytics and data-driven solutions.


Responsibilities

  • Creating new and analysing existing models for derivative pricing.
  • Develop data-driven solutions for systematic trading strategies, (high to low frequency), trading signals, risk models and categorisation of flow.
  • Quant research and strategy development to implement new trading strategies, especially on options.
  • You will be required to research and build libraries, create and evaluate strategies and analyse performance data - with the view of driving trading decision-making in a data-driven manner.


Requirements

  • PhD or graduate degree educated in a STEM field.
  • +2 years of experience as a quant or systematic researcher.
  • Strong background in using numerical methods including Monte-Carlo, and Stochastic Calculus for vanilla & exotic derivative valuations.
  • Knowledge of major derivative products in equity, rates, FX or commodity markets. Particularly options.
  • Understanding of back-testing and out-of-sample testing methodologies.
  • Solid understanding of volatility products and vol surface modelling.
  • Programming in C++ 17/20 or Rust, Python.
  • Excellent analytical, communication and presentation skills.


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