Derivatives Strategy VP & Quant Modeling Lead

Morgan-Stanley; Greater London; On-site; GBP 90,000 - 150,000; Full time

Job summary

Morgan Stanley seeks a Flow Modelling Strat in London to develop diffusion models, PDE solvers, and calibration processes for exotic equity derivatives. You will work closely with traders to implement models that support pricing, hedging and risk management in a fast-paced front office environment.

The role requires a strong quantitative background with an advanced degree and deep programming in an object-oriented language.

Qualifications

• Advanced degree in a quantitative subject (Engineering, Applied Mathematics, Physics, Software Engineering) is mandatory.
• Strong modelling skills with knowledge of equity derivatives models.
• Very strong programming skills in an object-oriented language used in front office.
• Knowledge of Probability, Numerical Analysis, Stochastic Calculus, PDE, or related fields.
• Ability to communicate in English and work well in a team.

Responsibilities

• Developing diffusion models, PDE solvers, calibration processes and other quant models.
• Carrying out exotic product analysis and pricings.
• Rolling model improvements out to production.
• Researching cutting edge techniques and applying them in practice.

Skills

Quantitative modelling

PDE

Numerical analysis

Stochastic calculus

Programming (OO)

Communication in English

Teamwork

Education

Advanced degree in quantitative subject

Tools

Python

C++

Job description

Morgan Stanley seeks a Flow Modelling Strat in London to develop diffusion models, PDE solvers, and calibration processes for exotic equity derivatives. You will work closely with traders to implement models that support pricing, hedging and risk management in a fast-paced front office environment.

The role requires a strong quantitative background with an advanced degree and deep programming in an object-oriented language.