Senior Quantitative Analyst Energy Market Ph.D.
Zürich, Switzerland
A CHF 124K-186K (estimate) Senior-level Full Time
Tasks
- Apply stochastic dynamic programming for decision making
- Backtest model performance
- Calibrate stochastic models using market and fundamental data
- Collaborate with legal front office and risk management
- Develop valuation models for structured power and gas contracts
- Measure risks and compute risk metrics and sensitivities
- Model stochastic processes for price modelling
- Optimize code for scalability and computational performance
- Use Least Squares Monte Carlo for optimal stochastic control
- Validate models with historical market and operational data
Perks/Benefits
- N/A
Skills/Tech-stack
Backtesting | C++ | Data Modeling | Deterministic Modeling | Dynamic Programming | Gas markets | Java | Least Squares Monte Carlo | Least-squares) | Model calibration | Monte Carlo | Optimization | Power markets | Python | Risk Metrics | SQL | Scala | Stochastic Dynamic Programming | Stochastic Modeling | VBA
Education
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