Desk Quant Developer at Rocketfin, City of London, London, £Contract Rate

  • Contract Spy
  • London, UK
  • Jun 30, 2020
Duration not stated

Contract Description

Desk Quant Developer - Oil and Gas

Quantitative Research · London, London, City of
 

The Quant practice is looking for a Senior or Principal consultant to join the practice to work on site and remotely for a number of our investment banking, asset management, insurance and commodities clients. Our practice is a fast growing practice area, and you can expect to work with a diverse and growing team of smart quantitative developers/researchers in London, New York and Singapore.

 

 

 

KEY RESPONSIBILITIES:

 

• Experience of pricing Commodities derivatives, with a particular focus on Oil and Gas options and futures
• Support flow quantitative models, analytics libraries and tools.
• Implementing the XVA, funding, Liquidity, Capital, Margining and other FO regulatory models and libraries.
• Support of Flow trading desks on pricing and hedging of flow products
• Development of models used for pricing and risk management, including PL Explain and capital
• Supporting the client's Sales and the desk strategists by providing them with quantitative tools

 

KEY SKILLS AND EXPERIENCE:
• Commodities product knowledge, especially around Oil and Gas derivatives
• Options knowledge - Forward curve model 
• Modelling knowledge, e.g. HW Model + local FX vol, smile, skew
• Risks decomposition and Attribution - P&L explain etc
• Experience in a quant team and coding in C++/C#/python, modelling & systems for production systems
• Data manipulation and database experience (SQL preferred)
• Strong communication skills to liaise with Quants, IT and Managers

  • Location
    London, London, City of
  • Department
    Quantitative Research
  • Employment Type
    Contractor
  • Minimum Experience
    Experienced