Quantitative Developer

1 month ago

London, Greater London, United Kingdom Millennium Management Full time
Quantitative Commodities Developer

Millennium Management is a leading global hedge fund that leverages innovations in technology and data science to solve complex problems. We are building a strong Quant Technology team to develop and maintain in-house analytics, Trader & Risk support tools. This team will sit under the Fixed Income & Commodities Technology (FICT) group and will develop and maintain the in-house pricing libraries to support trading in Fixed Income, Commodities, Credit, and FX business at Millennium.

Key Responsibilities
  • Research, build, enhance, test and maintain commodities quantitative models specialized for the needs of risk managers and portfolio managers.
  • Work closely with derivatives quants and data scientists to research and develop risk analytics for our commodities business.
  • Develop quantitative analysis models for derivatives, including calculation and aggregation of raw risk metrics, risk projections, forward curve and volatility surface construction, handling timeseries data for the construction of price and volatility scenarios, modeling of Value at Risk (VaR) with both historical and factor-based approaches.
  • Focus on risk-related topics deriving from the modeling of commodities fundamentals.
Requirements
  • Passionate about C++ programming with good understanding and substantial experience of modern C++.
  • Interest in commodities markets and quantitative analysis for pricing/risk.
  • Practical familiarity with at least one of the commodities asset classes, such as energy, ags and softs, or base metals.
  • Substantial hands-on experience with python for prototyping and analysis.
  • Solid communications skills.
  • Able to work independently in a fast-paced environment.

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