Equity Derivatives Valuation Specialist

5 days ago


London, Greater London, United Kingdom Millennium Management Full time

Millennium Management is seeking a highly motivated and skilled individual to join our team as an Equity Derivatives Valuation Strategist. In this role, you will play a crucial part in developing, implementing, and managing a cutting-edge platform for equity volatility fitting.

This sophisticated platform will be instrumental in pricing, risk assessment, and profit and loss calculations across a wide range of equity products, including complex derivatives. This presents a unique opportunity to contribute to Millennium's rapidly expanding sector.

Responsibilities:
  • Conduct in-depth research and testing of volatility surface fitting algorithms for indices, ETFs, and individual stocks.
  • Maintain and enhance existing processes for the automated fitting of volatility surfaces.
  • Collaborate closely with Market Data teams to ensure the accuracy and reliability of pricing feeds.
  • Work hand-in-hand with IT and Portfolio Managers to present comprehensive algorithm performance metrics.
Qualifications:
  • Possess an advanced degree in a quantitative field, coupled with at least 3 years of relevant experience.
  • Demonstrate expertise in equity derivatives pricing models.
  • Be proficient in Python programming; knowledge of C++ is highly advantageous.
  • Exhibit meticulous attention to detail, a strong sense of ownership, and a collaborative team spirit.


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