Quantitative Analyst - Equity Derivatives New York City, NY

Quantitative Analyst - Equity Derivatives

• Company

  OCG - Obtain Consulting Group

• Location

  New York City, NY

• Compensation

  Competitive

• Position Type

  Permanent

• Employment type

  Full time

• Updated

  Feb 17, 2013

• eFC Ref no

  1165124

The dedicated cross-asset Quant team, within this premier institution, is responsible for modeling,implementing and deploying derivatives pricing-models across all asset-classes. The group ensures that state-of-the-art-models driven by high-quality market-data are brought together in robust,fast and accurate implementations keeping them at the cutting-edge of derivatives analytics.

The team seeks a Quant experienced in both pricing and data modeling for a cross-asset  team.
The ideal candidate will have specific experience in Equity Derivatives, (but any cross-asset experience is considered).
RESPONSIBILITIES

• Design algorithms for the automatic and statistical validation of market data and their aggregation into composite sources.
• Build quantitative models around exchange-listed and OTC instruments to calibrate forward curves and volatility surfaces for use in pricing models.
• Attribute pricing and hedging discrepancies appropriately to market data artifacts; and communicating these findings to internal and external clients as necessary.
• You will be responsible for all aspects of quant activities ranging from model research and prototyping to production implementation, deployment, and on-going maintenance, as well as interaction with internal and external clients.

REQUIREMENTS

• Three to six years of experience with equity derivatives pricing and data modeling.
• Mathematical finance, experience with models in equity derivatives and knowledge of numerical methods.
• Experience with the validation and manipulation of listed and OTC data to create methodologies for curve and volatility surface construction. Experience in time series and statistics is a plus.
• Strong knowledge of equity derivative products and market conventions.
• Strong C/C++ programming skills in a production environment required.
• Strong oral and written communication skills and ability to thrive in a team environment.
• Ph.D. in mathematics, finance, physics, engineering or related field

To learn more about this opportunity please email your CV to mandates@obtainconsulting.com
We welcome tentative applications and speculative enquiries. For market updates or to learn more about  the mandates Obtain