Equity Derivatives Risk Manager

6 days ago

London, Greater London, United Kingdom Millennium Management Full time

Millennium Management is seeking a highly skilled professional to join their team in designing, implementing, and operating their next-generation equity volatility fitting platform. This platform will provide intraday firm-wide pricing, risk, and P&L for all Equity products, including exotics.

Key Responsibilities

  • Research and backtest volatility surface fitting algorithms for indices, ETFs, and single stocks to ensure accurate and efficient pricing.
  • Maintain, support, and improve processes to ensure frequent and automated fitting of volatility surfaces, including monitoring and remarking calibrated parameters, and continuously assessing algorithm performance.
  • Collaborate with Market Data teams to source and maintain pricing feeds from data providers and brokers, developing 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

  • An advanced degree or equivalent 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 and their applications.
  • Strong coding skills in Python, with C++ being a plus.
  • Detail-oriented with a strong sense of ownership and urgency, and a team player with a willingness to participate and help others.

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