Derivatives Modeling Expert

4 days ago

Mumbai, Maharashtra, India beBeeQuantitative Full time ₹ 15,00,000 - ₹ 20,00,000
Equities Modeling Quantitative Researcher

The Equities Modeling Quantitative Research team works closely with different stakeholders in the Global QR Equities team to develop and maintain sophisticated mathematical models for equity derivatives business. This is an opportunity for you to work on developing mathematical models for pricing, hedging and risk measurement of derivatives securities.

  • Job Responsibilities:
  • Developing mathematical models for pricing, hedging and risk measurement of derivatives securities
  • Identifying major sources of risk in portfolios, explain model behavior by carrying out scenario analyses, develop and deliver quantitative tools
  • Assessing the appropriateness of quantitative models and their limitations, identifying and monitoring the associated model risk
  • Implementing risk measurement, valuation models or algorithmic trading modules in software and systems
  • Designing efficient numerical algorithms and implementing high performance computing solutions

Required Skills and Qualifications:

  • Advanced degree (PhD, MSc or equivalent) in Engineering, Mathematics, Physics, Computer Science, etc.
  • Good understanding of advanced mathematical topics like probability theory, stochastic calculus, partial differential equations, numerical analysis, optimization
  • Experience of code design and demonstrable programming skills in C++/Python or any other programming language
  • Excellent communication skills, both verbal and written, can engage and influence partners and stakeholders
  • Demonstrate good judgment - decision-making is your strong side
  • Enthusiasm about knowledge sharing and collaboration
  • Strong interpersonal skills required to communicate in a direct, succinct manner

Preferred Skills and Qualifications:

  • Knowledge of options pricing theory, equities markets, in particular equity derivative products and models, is a plus, but it s not strict requirement
  • Experience with data schemas and data structures would be useful in this role
  • Robust testing and verification practices
  • Relevant academic research publications a plus

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