Quantitative Engineer – Exotic Equity Derivatives
Location(s): New York, New York, United States
USD 109K-163K Mid-level Full Time
Tasks
- Build and automate model calibration routines
- Compute Greeks and sensitivities
- Coordinate model reserve calculation issues
- Create contract factory components
- Deliver technical training and knowledge sharing
- Design numerical and statistical model validation tests
- Develop PDE solvers for derivatives pricing
- Implement Monte Carlo simulation engines
- Perform back testing for risk profiling
- Produce model governance documentation
- Provide PnL attribution and hedging strategy support
- Research and develop pricing models
- Support trading desk with exotic payoff queries
- Write payoff scripts for exotic products
Perks/Benefits
- 401k matching
- Accident insurance
- Disability insurance
- Life insurance
- Medical, dental, and vision coverage
- Paid time off
- Wellness programs
Skills/Tech-stack
C++ | Calibration | Differential Equations | Greeks | Local Volatility | Monte Carlo | Numerical Methods | Object-Oriented | Object-oriented design | Pandas | Partial differential equations | Probability theory | Python | Risk-neutral pricing | Software testing | Stochastic Calculus | Stochastic Volatility
Education
Roles
Regions
Countries
States
Cities
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