Commodities Quant
We are supporting a Global FO Commodities Quant team at a top Investment Bank that is looking for someone to join at the VP or Director level in NY. The business is strategically building out their team's presence in the US this year and are looking for some that can make an impact upon joining. This role is central to supporting the commodities trading desks while developing derivative pricing models across products. The ideal candidate brings deep quantitative expertise, strong coding ability (C++/Python), and experience in modeling complex derivatives and volatility structures.
Responsibilities:
- Develop and implement pricing and risk models for commodities derivatives.
- Design and calibrate volatility models and surfaces, including local, stochastic, and hybrid frameworks.
- Build and maintain scalable pricing libraries and quantitative tools supporting trading and risk analytics.
- Write production-level C++ and Python code
- Collaborate with traders, structurers, and risk managers to deliver model-driven solutions, support day-to-day analytics needs, and contribute to the continuous improvement of the platform.
Requirements:
- Masters or PhD in a quantitative discipline
- 4+ years of front office pricing/modeling commodities derivatives. Alternatively, experience across equities, FX or rates would be considered.
- Strong expertise of volatility modeling techniques
- Experience with Monte Carlo methods and PDE Solvers
- Proficiency in both C++ and Python
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