DESCRIPTION:

Duties: Apply stochastic process, finite difference and Monte-Carlo methods, probability theory and other quantitative methods to design, implement and maintain quantitative models for the pricing, hedging and risk management of equity derivatives products. Design efficient numerical algorithms and implement high performance computing solutions. Implement risk measurement and valuation models in trading software and systems. Explain model behavior to traders and help them use quantitative tools. Identify major sources of risk in portfolios. Conduct scenario analyses and provide back test and analysis in trading strategies. Support equity exotics trading desk on day-to-day risk decomposition and P&L explanation. Resolve pricing failures and booking issues. Approve new financial products and maintain existing products in partnership with the Model Risk Governance and Review Group, the Valuation Control Group and the Market Risk Group.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Mathematics, Data Science, Statistics, or related field of study plus 1 years of experience in the job offered or as a Quantitative Research, Associate, or related occupation.

Skills Required: Requires experience in the following: Quant supporting equity; probability theory; stochastic calculus; numerical analysis; using wide range of mathematical techniques for the purpose of option pricing and data analytics; equity derivatives space including valuation and modeling of equity exotic products; Python; C++; Trading and Structuring Control groups.

Job Location: 383 Madison Avenue, New York, NY 10179. Telecommuting permitted up to 20% of the week.

Full-Time. Salary:  $200,000 - $285,000 per year