Equity Portfolio Pricing & Valuations Manager

Millennium Consulting; Mumbai; On-site; INR 4,000,000 - 6,000,000; Full time

Job summary

Millennium Management in Mumbai seeks an Equity Portfolio Pricing Valuations Manager to own end-to-end valuation of equity autocallable products. You will produce daily P&L, explain attribution, calibrate pricing models to market data, and ensure robust governance across a global portfolio.

The role requires a 12+ year track record in equity derivatives or structured products, advanced quantitative credentials, and strong coding skills (Python/C++).

Qualifications

• Advanced degree in a quantitative discipline with 12+ years in equity derivatives or structured products.
• Deep knowledge of equity derivatives, risk metrics (Greeks), and valuation methods for structured products.
• Strong programming skills in Python or C++, with ability to handle large datasets and analytics tools.
• Detail-oriented with ownership, rigorous controls, and thorough documentation.
• Collaborative team player able to partner with trading, risk, technology, and operations.

Responsibilities

• Own end-of-day marking and P&L production for equity autocallable products.
• Decompose daily/periodic P&L into components for transparent explanations to stakeholders.
• Calibrate models against observable market data and maintain calibration documentation.
• Compute and post model reserves in line with model risk policies.
• Monitor valuations vs counterparty marks, investigate material differences, and support dispute resolution.
• Design and enhance controls to accurately reflect lifecycle events (coupons, barriers, calls).

Skills

Python

C++

Data analysis

Education

Advanced degree in quantitative field

Tools

Analytics 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 industrys 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 PL, transparent attribution, and strong model governance across a complex structured products portfolio.

What You''ll Do

• Pricing Daily PL:Own the official end-of-day marking and PL production for all equity autocallable products, ensuring prices are accurate, consistent, and aligned with market data and internal policies.
• PL Explanation Attribution:Decompose daily and periodic PL into clear components, including market movements (Greeks-based PL), 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 PL.

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.