Quant Pricing Specialist - London, United Kingdom - Aurum Search Limited

Description

Job Description

Join Our Client, a pioneering firm in the finance industry, and become a part of the Quant Pricing team, an innovative team dedicated to constructing a cutting-edge pricing platform. This platform is envisioned to empower quant research and various teams within the organization to develop models and ensure precise pricing of traded products.

As the Volatility Specialist within Quant Pricing, you will play a pivotal role in reviewing vol derivative pricing models utilized for valuation and risk management across our client's firm. Your responsibilities will encompass meticulous analysis and evaluation of models, ensuring their accuracy, validity, and effectiveness.

Key Responsibilities:

• Conduct comprehensive reviews and assessments of our client's and third-party volatility models, examining conceptual soundness, methodology, and implementation, while identifying any limitations and uncertainties.
• Develop a deep understanding of the mathematical models employed, implementation techniques, traded products, and associated risks.
• Quantify and manage model risk by creating alternative benchmark models.
• Oversee the ongoing performance monitoring of models.
• Cultivate strong relationships with key stakeholders including Trading, Quants, Market Risk, and Technology teams.
• Collaborate closely with developers to architect and implement the new production pricing framework, incorporating robust controls and validations.

Your Skills and Experience:

• Proven experience in pricing and modeling within equity flow derivatives.
• Demonstrable expertise in fitting volatility surfaces within a Model Validation or Quant Analyst/Research capacity.
• Proficiency in calibrating stochastic volatility models.
• Solid understanding of one or more asset classes, with a preference for Equities.
• Excellent mathematical acumen, encompassing Stochastic Calculus, Partial Differential Equations, and Numerical Algorithms.
• Experience in programming languages such as Python, modern C++, Java, or C#.

If you're passionate about finance, possess a keen analytical mind, and thrive in a collaborative environment, we encourage you to apply and be a part of shaping the future of finance with Our Client.