Quantitative Engineer – Exotic Equity Derivatives
Location(s): New York, New York, United States
R
USD 109K-163K Mid-level Full Time
Tasks
- Analyze Greeks and sensitivities
- Automate pricing for broker quotes
- Back test pricing models
- Build pricing libraries
- Calibrate quantitative models
- Create payoff scripts
- Design hedging strategies
- Develop Monte Carlo simulation engines
- Develop PDE solvers
- Execute numerical and statistical tests
- Implement pricing models in production
- Maintain model governance documentation
- Perform pnl attribution
- Present research and tools to stakeholders
- Research pricing models
- Support trading desk queries
- Validate model quality
Perks/Benefits
- 401k
- Disability insurance
- Life insurance
- Medical, dental, and vision coverage
- Paid Holidays
- Paid time off
- Wellness programs
Skills/Tech-stack
C++ | Calibration | Differential Equations | Equity Derivatives | Greeks | Interest rates | Local Volatility | Machine Learning | Model Validation | Monte Carlo | Monte Carlo Simulation | Numerical Methods | Object-Oriented | Object-oriented design | PDE solvers | Partial differential equations | Payoff Modeling | Probability theory | Python | Risk-neutral pricing | Series analysis | Statistical Testing | Stochastic Calculus | Stochastic Correlation | Stochastic Interest Rates | Stochastic Volatility | Time Series | Time Series Analysis | Volatility modeling
Roles
Developer | Engineer | Quantitative Developer | Quantitative Engineer
Regions
Countries
States
Cities
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