What’s the  Role?
The Equity and Convertible Quant Team is looking for a derivatives quant experienced in the design and implementation of equity derivatives pricers, implementation of routines for the calibration of implied data, e.g. implied volatility, implied dividends, borrow costs, etc.
 
We’ll trust you to:

•  Review existing pricing engines, identify misbehavior (e.g. accuracy of calibration, stability of Greeks, etc…) and be able to investigate them and propose improvements
•  Assess model fitness for purpose by reviewing quality of P&L explain and be able to identify areas of improvement
•  Design and implement equity derivative pricers, e.g. PDE pricer for single asset derivatives, volatility derivatives pricers, e.g. variance swaps, volatility swaps, VIX options, …
•  Review existing implied data calibration algorithms and propose & implement improvements
•  Design & implement more robust & stable alternatives, e.g. explore & propose new parametrisation of the implied volatility, design more appropriate filtering rules for market data quotes input of the calibration, …
•  Be able to investigate misbehavior in the implied data calibration when they arise
•  Collaborate with engineering to agree best ways to integrate quant models, e.g. definition of appropriate quant APIs
•  Collaborate with quant developers to keep up to date with new developments and coordinate their integration within the equity library.
•  Interact with the business & external clients to present tools/findings 
 
You'll need to have:

•  7+ years of experience*
•  Valuation modeling: experience in design & implementation of equity derivatives pricers local volatility, hybrid local volatility, local stochastic volatility, or Bergomi models.
•  Proven working experience with one of the following asset classes: Equities, Commodities, or FX
•  Implied data: experience in building implied market data e.g. implied dividends, implied volatility  and a demonstrated track record of being successful at providing stable and accurate tools.
•  Proven knowledge of  C++
•  Demonstrated effective communication with both internal and external stakeholders