Quantitative analyst

Equity and commodity derivatives quantitative research team in London
Would work for the following desks:

• All commodities trading (cash, options and derivatives) and structuring desks (investors and corporate businesses)
• Equities derivatives quotation and structuring desks
• Equities exotic flow trading desks
• Emerging markets trading desk

Mission:

• Implementing pricers in our pricing library
• Delivering studies on pricing methods for quotation and structuring desks
• Delivering historical studies (backtesting, etc ...) on commodities and equities models for all trading desks
• Implementing pricing tools (from the results of those studies) using python and possibly VB

Requirements:

PhD or French equivalent ("Grande Ecole")

With between 2 and 5 years of experience as a quantitative analyst in an investment bank (on the fixed   

income, equities or commodities side):

Either in an equity derivatives department

• Ex of products: variance swaps, options on dynamic baskets (CPPI), hybrids, etc... all kinds of complex equity derivatives
• Ex of underlyings: stocks, indices, hedge or mutual funds
• Ex of models: local volatility, stochastic volatility, jumps, dividends, etc...
• Or in an interest rates derivatives department
• Talkative and very dynamic personality, used to work with traders
• Willing to work in a equity & commodity derivatives quantitative research team with strong interaction with trading / structuring desks
• Good technical skills both as a quantitative analyst and a computer programmer

For further information please contact John Meadowcroft on 020 7780 6700 / 020 7025 0420, or alternatively via e-mail John.Meadowcroft@AnsonMcCade.Com