Quantitative Strategist - Commodities
Core
Design, develop, and implement pricing, risk, and analytics models for commodity derivatives businesses to support trading and sales partners.
Role type
Front-office quantitative strategist (commodities)
Builds
Proprietary pricing and risk models integrated into real-time securities risk platforms
Domain
Financial services / Commodities derivatives (energy, metals, power)
Deliverable
production ML models
Required skills
Stochastic calculus, neural-network modeling, machine learning methodologies, no-arbitrage pricing, rates modeling, futures and forward price curve methodologies, Asian options pricing, basket options pricing, electricity power forward agreements, metal leasing agreements, exchange-traded futures and options valuation
Preferred skills
C++ programming, Python programming
Technologies
C++, Python
Responsibilities
Support research on commodities markets; Develop quantitative models and simulate trading strategies; Develop futures and forward price curve methodologies; Develop pricing models for various commodity derivatives; Value exchange-traded futures and options products; Participate in the development of the Fixed Income Analytics Platform; Collaborate with Model Validation and Risk Oversight teams; Partner with Technology teams in model integration and implementation
Seniority
Junior to Mid-level, hands-on IC
