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This is a quantitative analystposition within the Commodities Quantitative Research team, withresponsibilities including developing and maintaining models for valuation,risk, profit/loss calculations, as well as quoting and market making algorithmsand analysis tools.
Develop models and implement them in software for pricing and risk managing derivatives
Develop pricing and calibration tools
Benchmark and compare results of various techniques
Implement products using pricing engines and models
Explain model behavior and predictions to traders, identify major sources of risk in portfolios, carry out scenario analyses, provide guidance / debug analytics
Rapid prototyping of models and products
Relevant quantitative modelling and/or derivatives trading desk support experience, preferably in Commodities
Deep understanding of options pricing theory (i.e. quantitative models for pricing and hedging derivatives)
Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis
Strong analytical, modeling and problem solving abilities
Exposure to Athena, Python and C++
Object oriented programming skills with emphasis on numerical methods
Good communication skills
PhD, Masters or equivalent degree in a technical field from a top-tier school/program: Mathematics, Mathematical Finance, Sciences, Engineering, Computer Science
Internal Number: 6322290
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