Quantitative Developer - C++ - Commodities

Millennium is a top tier global hedge fund with a strong commitment to leveraging innovations in technology and data science to solve complex problems for the business. We are assembling a strong Quant Technology team to build our next generation in-house analytics, Trader & Risk support tools. This team will sit under the Fixed Income & Commodities Technology (FICT) group and will develop and maintain the in-house pricing libraries to support trading in Fixed Income, Commodities, Credit, and FX business at Millennium. FICT provides a dynamic and fast-paced environment with excellent growth opportunities.

Responsibilities

• Newly-created role to research, build, enhance, test and maintain commodities quantitative models specialized for the needs of risk managers and portfolio managers.
• The role sits within the centralized commodities quant team.
• Work closely with derivatives quants and data scientists in London, Bangalore, Geneva, Tel Aviv, Miami and New York to research and develop risk analytics for our commodities business.
• The emphasis is on quantitative analysis models for derivatives, including calculation and aggregation of raw risk metrics (the Greeks), risk projections, forward curve and volatility surface construction, handling timeseries data for the construction of price and volatility scenarios, modeling of Value at Risk (VaR) with both historical and factor-based approaches.
• Additional emphasis on risk-related topics deriving from the modeling of commodities fundamentals.

Requirements

• Passionate about C++ programming (good understanding and substantial experience of modern C++ is a must). Ideally 1+ year of professional experience with C++ or equivalent.
• Interest/curiosity in commodities markets and quantitative analysis for pricing/risk. Previous experience with quantitative modelling and commodities markets is a plus
• Specifically, researching and building risk models for commodities is advantageous
• Practical familiarity with at least one of the commodities asset classes, such as energy, ags and softs, or base metals.
• Substantial hands-on experience with python for prototyping and analysis is beneficial with an associated tool stack for high-performance numerical computation.
• Solid communications skills.
• Able to work independently in a fast-paced environment.
• Detail oriented, organized, demonstrating thoroughness and strong ownership of work.