Intern - Quantitative Research Commodities (12 months)

Groupe BPCE; Greater London; On-site; GBP 18,000 - 28,000; Full time

Job summary

Groupe BPCE in London offers a 12-month internship in Quantitative Research for Commodities. You will develop pricing and risk models for commodity derivatives, and contribute to front-office pricing architecture with documentation of methods and assumptions.

You will work with C++ and Python, stay current on numerical methods, and document progress while supporting trading tools and quantitative research for hedging strategies.

Qualifications

• Mathematical, statistical and numerical skills (MSc/PhD) in a scientific subject.
• Programming skills in C/C++ or C# or Python.
• Knowledge in Financial Markets specifics.
• Knowledge of Murex is a plus.

Responsibilities

• Develop, implement and assess models used for pricing and risk management of commodities derivatives available in books and in the market including many layers of documentation from the codes comments to the deep mathematical explanation.
• Develop quantitative research and analysis for financial pricing and hedging strategies.
• Keep abreast of cutting-edging approaches and best practices in the field of numerical simulation and mathematical models.
• Provide support on existing Front Office pricing architecture.
• Systematically document work and provide a clear view of process assumptions and numerical approximations.
• Implementation in the C++ Commodities Quantitative Library or in Python for Trading tools with respect to existing Front Office pricing architecture
• Documentation with respect to implementation in the C++ Commodities Quantitative Library or in Python for Trading tools.
• Responsible for reviewing: Cutting-edging approaches and best practices in the field of numerical simulation and mathematical models.

Skills

Mathematics

Statistics

Numerical methods

Programming

Education

MSc/PhD in a scientific subject

Tools

C/C++

Python

C#

Murex

Job description

Intern - Quantitative Research Commodities (12 months)

• Stage
• 22457

Overall Purpose

A new strategy has been put in place recently to revive the commodity business, better serve our global clients and widen the client perimeter benefiting from Global Markets Sales footprint.

Main responsibilities and duties

Develop, implement and assess models used for pricing and risk management of commodities derivatives available in books and in the market including many layers of documentation from the codes comments tot he deep mathematical explanation.

Develop quantitative research and analysis for financial pricing and hedging strategies.

Keep abreast of cutting-edging approaches and best practices in the field of numerical simulation and mathematical models.

Provide support on existing Front Office pricing architecture.

• Systematically document work and provide a clear view of process assumptions and numerical approximations.

Responsible for producing:

Implementation in the C++ Commodities Quantitative Library or in Python for Trading tools with respect to existing Front Office pricing architecture

Documentation with respect to implementation in the C++ Commodities Quantitative Library or in Python for Trading tools.

Responsible for reviewing:

• Cutting-edging approaches and best practices in the field of numerical simulation and mathematical models.

Key skills/ experience

• Mathematical, statistical and numerical skills (MSc/Phd) in a scientific subject
• Programming skills in C/C++ or C# or Python
• Knowledge in Financial Markets specifics
• Knowledge of Murex is a plus

Personal attributes

• Motivated for Commodities
• Pragmatic with the right attitude and intellectual honesty
• Strong problem-solving skills and risk consciousness
• Good communication and presentation skills
• Good team player
• Ability to work on projects mostly independently with flexibility and creativity
• To be able to communicate tot he management in a clear and regular way on the progress oft he various projects