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Voir les 161 annonces d'emploi de SELBY-JENNINGS-LONDON
Senior Vice President of Interest Rate and Commodity Hybrids, Front Office Quant Modeller-London, UK-£Highly Competitive
Top tier UK investment bank is seeking an experienced and highly technical Quantitative Modeler to work on its Cross Asset hybrids desk covering IR/Commodity Hybrids.
The bank is doing exciting work in the Hybrids space and is part way through the process of completely merging its analytics library to trade more hybrids.
You will take a lead role in the team covering IR and Commodity Hybrids, and will be charged with the design and development of complex exotic hybrid models.
Working closely with the traders and structuring team, this role represents an excellent career move into a role of responsibility within a highly technical team.
The group has worked on, or are planning to work on, the following models:
-LMM, BGM, SSAPO, EEE, Calendar Spread Options models, Crack Spread Option models, Extendible/callable structure on crude and product APO baskets, TARNS,
-Base and Precious Metals: Term structure and skew models, Spread options, Barrier, and Swaption,
-Exotic Models: Basket and Swap skew models, CCO model, Multi-asset simulation model, and Weather and Weather Forecast simulation,
-UK and Continental Gas: Location Flexibility Option Model, Gas Formulae and option structure models, Gas Swing and Storage, In the process of developing LDZ Gas Demand Models.
The successful candidate may adhere to the following criteria:
-A significant level of experience covering IR and Commodities, in a front office stochastic modeling role,
-Top PhD, DEA in a highly quantitative field, e.g. Applied Mathematics, Theoretical Physics, El Karoui, etc,
-Expert Mathematical modeling ability, Stochastic Calculus, PDE, Black Scholes,
-Good level of programming ability in C++, Java, Matlab,
-Evidence of leadership ability.
Please apply with CV in Word Format to mail
www.selbyjennings.com
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.
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