Job Description Primary Duties and Responsibilities:
Participate in the selection and construction of pricing methods for VIX options, vol of vol products and other derivative products
Develop high-performance numerical algorithms, conforming to the high reliability and availability standards of the organization
Develop pricing and risk analytic tools to support risk management, and design risk sensitivity analysis reports.
Review models and algorithms of other team members
Write quantitative, systems and review documentation, including executive summaries for business users and management
Provide production support for existing and new risk management systems Qualifications:
Strong knowledge on financial derivatives in general, equity derivative products and their pricing models in particular.
Strong experience in building models to price consistently and coherently across related volatility products from basic ones (vanilla options and variance swaps) to more sophisticated ones (VIX futures, Options on Variances, VIX options as well as options on ETFs and ETNs on VIX).
Quantitative skills across derivatives valuation, risk factor identification, risk modeling, scenario analysis and stress testing. Technical Skills: Software and Programming:
Java, C++, VBA and quantitative scripting languages such as Matlab. Education and/or Experience:
PhD in a highly quantitative subject such as statistic/physics/mathematics.
Experience in implementing analytical algorithms for financial derivatives, strong knowledge for local volatility and stochastic volatility models