Equity Derivatives Valuation Specialist

1 week ago


London, Greater London, United Kingdom Millennium Management Full time
Equity Derivatives Valuation Strategist

Millennium Management is seeking a highly skilled Equity Derivatives Valuation Strategist to design, implement, and operate their next-generation equity volatility fitting platform.

Key Responsibilities:

  • Develop and backtest advanced volatility surface fitting algorithms for indices, ETFs, and single stocks.
  • Maintain and improve processes for frequent and automated fitting of volatility surfaces, including monitoring and remarking calibrated parameters.
  • Collaborate with Market Data teams to source and maintain pricing feeds from data providers and brokers, and develop systematic controls to validate critical data inputs.
  • Work closely with IT and Portfolio Managers to present fitting algorithms, performance statistics, and stability analysis to senior stakeholders.

Requirements:

  • Advanced degree in a quantitative subject, such as Engineering, Mathematics, or Physics, plus at least 3 years of relevant work experience.
  • Advanced knowledge of equity derivatives pricing models.
  • Strong coding skills in Python, with C++ a plus.
  • Detail-oriented and team player with a strong willingness to participate and help others.


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