
Quantitative Analyst
1 day ago
Quantitative Analyst - Equity Derivatives
We are assembling a strong Quant Technology team to build our next generation in-house analytics and trader support tools. This team develops and maintains the in-house pricing libraries to support trading in Fixed Income, Equity Derivatives, Credit, Commodities and FX business at Millennium. Our environment is dynamic and fast-paced environment with excellent growth opportunities.
**Responsibilities**:
- Work closely with Quants globally to develop pricing, pre-trade analysis tools and risk analytics for our in-house pricing library, focusing on equity derivatives
- Work closely with Equity IT (in particular in Asia) for integration of models into risk systems - help using models, explain numbers, build new package, investigate technical issues
- Interact with Portfolio Managers to gather requirements, discuss modelling approaches and methodologies for valuation and risk
- Work with Middle Office and Risk Management teams in Asia - explain P&L and Risk, valuation methodology, etc.
Mandatory Requirements:
- Familiarity with Equity derivatives products, including variance derivatives, VIX, barrier options and exotic products
- Good knowledge of Object-Oriented Programming, in particular C++
- Strong analytical and mathematical skills
- Good problem-solving capabilities
- Solid communication and inter-personal skills
- Able to work independently in a fast-paced environment.
- Detail oriented, organized, demonstrating thoroughness and strong ownership of work
Preferred Requirements:
- Knowledge of Python or Java
- Familiarity with Linux
- Experience working with other asset classes (Fixed-income, FX, etc)
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