We're looking for a Quantitative Analyst to join a successful energy supply and trading business based in London. Our client is seeking an individual with experience in energy commodities and option pricing, to design, implement, deliver and integrate robust quantitative models and tools, for the valuation and risk management of structured products of interest to the gas and power trading desks.
You will be:
Providing quantitative support for the team and across the wider business
Helping to maintain and improve the quant codebase to meet the needs of the team's technical and non-technical stakeholders
Using market dynamics from historical data analysis and applying findings to make informed modelling decisions
Investigating profitability and risk of quantitative proprietary trading strategies.
You will be responsible for:
Analysis, development, testing and documenting new models
Working with the
- rest of the team to enhance existing models and ensure new code meets the team standards for production
- trading desk to design and deliver solutions to the problems they face
- IT department to ensure new models fit within the wider IT infrastructure
- risk department to understand the implications of new modelling approaches on the company's ability to evaluate and report its risk
Providing support to stakeholders on quantitative issues and the quant libraries.
You will need to have an:
Understanding of market dynamics through historical data analysis
Ability to design and implement models capturing the key drivers of structured product pricing with an adequate balance between accuracy and complexity
Knowledge of option pricing theory and stochastic calculus
Strong programming skills. Experience in Python would be distinct advantage
Effective written and verbal communication skills; fluency in English (verbal and written) is essential
Ability to explain and defend the methodology used in the development of quantitative models and tools
Ability to rapidly switch back and forth from working on longer term projects to helping the desks for emerging priorities.
You will have experience in:
Option pricing (essential)
Surface volatility modelling and/or local volatility models
Programming within a team on a shared codebase, ideally in Python
Degree or equivalent in a Scientific, Computing or Engineering discipline
Professional certifications in desired skill areas an advantage #LI-BC1
For more information about this role please contact Rebecca Holland on +44 (0) 1565 626767 or +44 (0)7436 338 241 or email@example.com, or click to apply directly.