Senior Energy Derivatives Quant - Pricing & Models

EDF Trading; England; Hybrid; GBP 110,000 - 160,000; Full time

Job summary

EDF Trading seeks a Derivatives Quantitative Analyst to join the Quantitative Analysis team in London. You will work on pricing, risk, and model calibration for derivatives across power, gas, LNG, LPG, oil and environmental products.

The role focuses on developing a scalable C++ library and Python services, backtesting models, and collaborating with trading, structuring and risk teams to implement enhancements and ensure robust documentation.

Qualifications

• Minimum of 5 years in a similar trading role.
• Experience developing derivatives pricing models for commodities.
• Strong knowledge of option pricing and Monte Carlo methods.
• Proven ability to write clear, maintainable C++ and Python code.

Responsibilities

• Partner with trading and structuring to gather requirements for new derivatives models.
• Undertake research and development for new models and upgrades to existing models.
• Backtest models to provide insights on model behaviour and suggest strategies for trading.
• Calibration/estimation of model parameters, working with development teams for deployment.
• Partner with Quantitative Development to develop pricing libraries and data analysis tools.
• Actively engage with Quant Risk to test and document proposed enhancements to models.

Skills

C++

Python

Analytical skills

Communication

Tools

Monte Carlo

Numerical optimization

Pricing models

Job description

EDF Trading seeks a Derivatives Quantitative Analyst to join the Quantitative Analysis team in London. You will work on pricing, risk, and model calibration for derivatives across power, gas, LNG, LPG, oil and environmental products.

The role focuses on developing a scalable C++ library and Python services, backtesting models, and collaborating with trading, structuring and risk teams to implement enhancements and ensure robust documentation.