Our client, a Top Tier U.S. Investment Bank are looking for an outstanding Front Office Commodities Quant Analyst to join the group and help deepen the Investment Bank's product coverage and guide the group.

The Quant Analyst/Trader will have a strong background in commodities derivatives as you will work with senior members of the team with who have their product coverage specified to Commodities. This is a huge opportunity to develop a good business and trading knowledge across the commodities sector.
You will gain exposure to multi-products and complexities and have the opportunity to work with cutting edge and highly successful quant specialists.

Responsabilities:
-Develop an approximation to multifactor model.
-Implement calibration to swaptions and both PDE and Monte Carlo pricing engines which are used in production for all commodity exotics in the bank.
-HJM and factor models, including Gabillon-calibration and implementation of simple moment matching techniques for Asians and swaptions.
-Barrier options-PDE and Monte Carlo models,
-Implementation of pricing and risk management framework for commodity investor products.

Skills:
-PhD/MSc in a Mathematical Subject,
-Strong Programming Skills in C++ and advantageous to have additionally any of the following: C, JAVA, MATLAB.

This role will involve daily interaction with the business and you will be highly critical to the success of the group.

Please apply directly by mail, 00 b44 207 019 4137, www.selbyjennings.com