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