Equity Portfolio Pricing & Valuations Manager

Millennium Management LLC; Mumbai; On-site; INR 2,800,000 - 6,000,000; Full time

Job summary

Millennium Management LLC in Mumbai seeks an Equity Portfolio Pricing & Valuations Manager to own end-to-end valuation of equity autocallable products, working across trading, risk and quantitative analytics.

The role emphasizes pricing, P&L, model calibration, and governance, with responsibilities for determining marks, calibrating to volatility surfaces/dividends, and monitoring against counterparty valuations.

Qualifications

• Advanced degree in a quantitative field with 12+ years in equity derivatives or structured products.
• Deep knowledge of equity derivatives and valuation methodologies.
• Strong coding skills in Python and C++ with large datasets.
• Detail-oriented with ownership and governance in pricing, controls, and documentation.

Responsibilities

• Own end-of-day marking and P&L for equity autocallable products.
• Explain P&L and attribution to traders, risk, finance, and senior management.
• Calibrate models to observable market data (vol surfaces, dividends).
• Support model risk reviews and post appropriate reserves.
• Monitor valuations versus counterparty marks and resolve discrepancies.
• Enhance lifecycle controls for autocallable events.

Skills

Mathematics

Finance knowledge

Communication

Education

Advanced degree in quantitative discipline

Tools

Python

C++

Data analysis tools

Job description

Equity Portfolio Pricing & Valuations Manager

Who We Are

Millennium Management is a global investment management firm founded in 1989 that manages approximately $79 billion in assets. Millennium has more than 2,300 employees with offices in the United States, Europe and Asia. Over the last 25+ years, our mission has remained constant: to deliver the alternative investment industry's highest quality returns to our investors, and to maintain a commitment to our principles of integrity, discipline and excellence.

Meet the Team

The team (Equity Valuations / Portfolio Pricing and Valuations) is responsible for pricing and valuing equity positions and independently verifying marks across the firm's equity books globally (US, EMEA, APAC). This role sits at the intersection of trading, risk, and quantitative analytics, focusing on the accurate pricing and valuation of equity autocallable products. You will own the end-to-end valuation process, ensuring robust daily P&L, transparent attribution, and strong model governance across a complex structured products portfolio.

What You'll Do

• Pricing & Daily P&L: Own the official end-of-day marking and P&L production for all equity autocallable products, ensuring prices are accurate, consistent, and aligned with market data and internal policies.
• P&L Explanation & Attribution: Decompose daily and periodic P&L into clear components, including market movements (Greeks-based P&L), idiosyncratic events, trading activity, and other factors, to provide transparent explanations to traders, risk, finance, and senior management.
• Model Calibration: Calibrate model and reserve parameters to observable market datasets (e.g., volatility surfaces, correlations, dividends) and maintain robust calibration methodologies and documentation.
• Model Risk & Reserves: Support the testing, validation, and rollout of new pricing models; compute, review, and post appropriate model reserves in line with model risk policies.
• Counterparty Valuation Oversight: Monitor portfolio valuations versus counterparty marks, investigate and reconcile material differences, and help drive fair value and dispute resolution processes.
• Controls & Lifecycle Monitoring: Design and enhance systematic controls to track lifecycle events for autocallable products (e.g., coupon payments, barrier events, calls), ensuring accurate reflection in positions, valuations, and P&L.

What You Bring

• An advanced degree (or equivalent) in a quantitative discipline such as Engineering, Mathematics, Physics, or similar, with at least 12+ years of relevant experience in equity derivatives, structured products, or quantitative finance.
• Advanced knowledge of equity derivatives products, their risk profiles (Greeks), and common valuation methodologies for structured products and exotics.
• Strong coding skills (e.g., Python, C++, or similar) and the ability to work efficiently with large datasets, automation, and analytics tools.
• Highly detail-oriented, with a strong sense of ownership, rigor, and accountability in pricing, controls, and documentation.
• Collaborative team player with strong communication skills and a willingness to support and partner with trading, risk, technology, and operations.