Derivative Modeler - $15BN AUM Hedge Fund - NYC
A top global hedge fund is looking to bring on a strong quantitative modeler to their derivatives modeling team. This group is a instrumental part of the business supporting portfolio managers and traders across the platform with cutting edge research.
Sitting directly alongside the Trading and Investment teams, you will work on the research, development and implementation of complex pricing models covering a variety of derivative products (Equity, Rates, Credit, Futures, etc).
Job responsibilities include:
- Development and implementation of a new strategic derivative pricing model library
- Pricing library model maintenance, development, and implementation in collaboration with the PM and traders
- Development and maintenance of trading tools for the trading desk
- Implement new derivative pricers and maintaining existing ones across a variety of products
- Work collaboratively with senior QR's on the development of alpha strategies
Job requirements include:
- MS/PhD in a quantitative subject, Mathematics, Physics, Statistics, etc.
- Strong C++ modeling skills
- 2+ years of experience working as a front office desk quant on model development and implementation
- Derivative modeling and pricing experience a plus but willing to consider candidates from other front office modeling backgrounds
- Strong interpersonal skills a plus