Senior Commodity Derivatives Quant

3 months ago


London, UK, United Kingdom Millar Associates Full time

Up to £250K Total + Benefits

Leading Global Investment Bank

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


Our client, a leading global Investment Bank trade commodities in London, New York & Paris, and seek now to recruit an experienced Quantitative Analyst to join their Commodities Analytics team.


You will specialise in the development of derivatives & structured products for their Commodities Desk in London but also used by traders in Paris, Singapore & New York. This client is open to look at quants from a background of Commodities, FX or Equity. You’ll need a strongly analytical approach problem solving with excellent communication skills and ability to work under pressure.


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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