VP/Director, Quantitative Analyst - Commodities Quantitative Strategies and Data Group
Core
Design, implement, and maintain derivative pricing models and volatility modelling tools for global commodities trading.
Role type
Senior quantitative analyst (commodities derivatives)
Builds
Production pricing models, volatility tools, and analytics libraries for gas, power, and energy derivatives
Domain
Financial services / Quantitative finance / Commodities
Deliverable
production ML models | product features
Required skills
Derivatives pricing theory, Volatility modelling, C++ development, Python development, Numerical computing, Model documentation, Software development lifecycle
Preferred skills
Gas and power products, Monte Carlo methods, PDE solvers, Volatility calibration
Technologies
C++, Python
Responsibilities
Develop pricing and risk models for commodities derivatives, Design scalable model pricing code and quantitative software platforms, Write high-quality production code in C++ and Python, Collaborate with traders and risk managers to deliver analytics tools, Write comprehensive model documentation, Support day-to-day analytics needs
Seniority
Mid-to-senior level, hands-on IC
