Volatility Arbitrage Quant (Stamford, CT)

Job description

Established financial institution in CT. is looking for a VBA quant developer to join Volatility arbitrage desk (equity options). At least 2 years of experience of volatility experience in a similar role required.

Duties Include:

  • VBA risk modeling
  • C++ Modeling
  • Relative value modeling
  • Quantitative research
  • Statistical forecasting (non-parametric, non-linear and linear)

The successful candidate will join the Counterparty Credit Risk Analysis group, as a quantitative analyst and will gain exposure to many aspects of interest rate, commodity, and credit derivatives pricing and risk management.

  • Masters or PhD
  • Minimum 3 years experience in Fixed Income or Commodity Derivatives modeling and some exposure to Credit Risk Analytics
  • Be able to derive and implement complex quantitative models for pricing and simulating vanilla and exotic products in Fixed Income, Commodity, and Municipal derivatives
  • Good quantitative and programming skills in C, Perl
  • Team-oriented and able to work closely with the sales and trading desks, financial control, model validation, credit and market risk management
  • Detail-oriented
  • Good communication skills


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