Equity Derivatives Valuation Strat.

3 weeks ago


London, United Kingdom Millennium Management Full time
Equity Derivatives Valuation Strat

Millennium is assembling a new team to design, implement and operate their next generation equity volatility fitting platform, which will be used to provide intraday firm wide pricing, risk and P&L for all Equity products, including exotics. This is an exceptional opportunity to join Millennium in a high-growth area.

Job Responsibilities

Research and backtest volatility surface fitting algorithms for indices, ETFs and single stocks 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. Work closely with Market Data teams to source and maintain pricing feeds from data providers and brokers. Develop systematic controls to validate critical data inputs. Collaborate closely with IT and Portfolio Managers. Present fitting algorithms, performance stats and stability analysis to senior stake-holders.

Qualifications

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 Strong coding skills in python. C++ would be beneficial, but not required. Detail oriented; Demonstrates thoroughness and strong ownership of work, with a good sense of urgency Team player with a strong willingness to participate and help others

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