Senior Commodity Derivatives Quant

3 days ago


London, UK, United Kingdom Millar Associates Full time


Nat Gas, Oil, Metals, Gas Curves, Structured Products, Carbon (C++ or C#)

KEY RESPONSIBILITIES:

  • Improve existing and implement new derivative pricing models
  • Provide risk tools & reports
  • Create, improve models for Gas, UK/Continental / Daily gas-curve construction & marking tree.
  • Energy/Metal volatility: Maintenance, improvement of existing toolsuite.
  • Deliver analytics documentation and test material
  • Provide day-to-day support to Commodity Desks (Gas, Crude, Options, Carbon Energy transition)

ESSENTIAL SKILLS & EXPERIENCE:

  • 5+ years’ experience in a quant analytics role (ideally including Commodity products)
  • Quant analytics experience covering Commodities, FX or Equity Derivative products
  • Knowledge of Commodities markets – Example: Gas, UK/Continental / Daily gas-curve construction & products for physical delivery.
  • Knowledge of Numerical Methods, Stochastic Calculus, Econometrics and Probability
  • Good programming skills in C++ or C# or Java as well as Python/Matlab/R
  • Strong communication skills. Fluency in written and spoken English
  • PhD or Masters’ in a Quantitative / Engineering field


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