Tempest Vane Partners
Quantitative Analyst - Exotic Equity Derivatives - Hedge Fund
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The Client
My client is a market leading hedge fund with offices in NYC and London and satellites across the U.S., Europe and Asia. They operate across a broad range of derivatives-based strategies with a deep understanding of volatility, and have circa $12 billion in AUM.
They are currently expanding their offering to cover the Exotic Equity Derivatives market, and as such are looking for an experienced Quant to play a key role in modelling and pricing these instruments.
What You'll Get
- An opportunity to work in one of the most exciting and fast growing buy-side businesses in the world.
- An opportunity to join a strong team with a very high talent density presenting lots of opportunity for learning and development.
- Incredible career progression opportunities with potential access to all areas of the business.
- A market leading compensation package including basic salary and annual bonus.
- Benefits including a pension contribution, healthcare, life assurance, and 25 days annual leave.
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What You'll Do
The role will focus on developing, implementing, and enhancing new quantitative models for pricing, hedging, and risk management of exotic equity derivatives.
They will be looking for expertise in some (not all) of the following:
- Correlation products
- Long Volatility / Tail Hedging
- Option Volatility RV
- Options Payoff Skew / Barrier products
- Structured / Scripted Payoffs
- Risk Recycling
- Equity Replacement Strategies
Further to this you will be responsible for:
- Contributing to the development and enhancement of their pricing libraries, written in C++, and building trading tools in Python.
- Collaborating with Portfolio Managers to translate quantitative insights into actionable trades.
- Performing post-trade analysis, model performance attribution, and ongoing strategy refinement.
- Optimising computational performance for real-time or near-real-time decision-making.
- Staying at the forefront of academic and market developments in derivatives, volatility, and quantitative finance.
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What You'll Need
- 5+ years of experience with quantitative modelling and pricing of exotic equity products and scripted payoffs (ex. BLAN).
- Working knowledge of different volatility models (Local Volatility, Local Stochastic Volatility, Parametric Implied Volatility).
- Experience implementing high-performance Monte Carlo engines for complex path-dependent payoffs and exotic derivatives.
- Ability to communicate efficiently and concisely in writing and verbally.
- Strong programming skills in C++ and proficiency in at least one other modern programming language (Python, Java, JavaScript, etc.).
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