A top UK financial instruments and Valuations house is looking for an experienced commodities product specialist to take the lead in building a valuations capability…A top UK financial instruments and Valuations house is looking for an experienced commodities product specialist to take the lead in building a valuations capability for derivatives on energy, base and precious metals, softs, indices and emissions. The valuations product teams specialize in building quantitative models for pricing vanilla and exotic derivatives across the major asset classes. This is already in place for credit, interest rate, equity and FX derivatives, so building out the commodity derivatives offering has become the major focus.
Responsibilities:
-Adding vanilla commodity derivatives fully into the existing valuation system over the next 12 months, which involves:
.designing system analytics such as forward curves, volatility surfaces and pricing models
.building prototype models in Excel/VBA
.Subsequently extending this commodity framework to price various exotics
Qualifications:
-Financial markets experience, including within commodity derivatives (with an energy focus) gained within a bank or trading house
-Excellent analytical, quantitative and problem-solving abilities
-Solid practical and theoretical knowledge of mathematical finance: Stochastic Calculus, PDE`s, Stoch Vol, Monte Carlo etc.
-Proficiency using Excel and VBA
-Top academic background to PhD, DEA level in a highly quantitative subject: Mathematics, Physics, Financial Engineering.
Please contact quantexotic@selbyjennings.com
www.selbyjennings.com
Type: Full-time
Location: City of London
Category: Quantitative Analysis Jobs
Apply Email: quantexotic@selbyjennings.com