We are seeking highly motivated Financial Engineers with various areas of expertise. Our ideal candidate has an advanced degree (MS PhD) in a quantitative field. In most instances this person will work with Developers, IT Staff, Traders and the other Financial Engineering teams.
Areas of desired expertise include: Interest Rates, this person will:
Support market making operations on US Treasury cash and futures products and interest-rate swaps.
Possess a strong background in interest-rate products
Develop pricing models for cash and futures interest-rate products
Develop forward curves using various exchange-traded and OTC interest-rate products
Manage development and implementation of quantitative strategies
Have good C# or C++ Skills
Apply advanced risk management techniques to the desk’s book.
Volatility Specialist, this person will:
Research, develop, and implement tools and models relating to option volatility.
Perform research in academic literature, creating and validating models used for the volatility surface
Modify models for differences in product and regime, and implement solutions in a reasonable way
Confront practical situations untouched by academics, while collaboratively and independently solving unique problems quickly and accurately.
Create practically and mathematically robust solutions and models that properly account for risk
Index Options, this person will:
Have a solid understanding of the US listed options market, especially index options.
Have experience with Monte Carlo techniques, Stochastic Calculus and Vol modeling.
Develop models to price options on broad based indexes, both on cash and futures.
Develop rich/cheap indicators.
Develop models of volatility term structures.
Apply advanced risk management techniques to the desk’s book.
Equity Options, this person will:
Have a strong background in equity options modeling and correlation management
Develop models and strategies for option portfolios, including price, volatility and risk
Work directly with technology teams to build tools for market making options on major options exchange.
Have experience in developing models and strategies for options pricing.
Have a deep understanding of correlation and dispersion trading and modeling
An advanced quantitative degree (PhD/MS) in engineering, mathematics or science
Familiarity with C# development on the .net platform preferred.
