Equity Portfolio Pricing & Valuations Manager

Millennium; Mumbai; On-site; INR 3,500,000 - 5,200,000; Full time

Job summary

Millennium Management is seeking a senior quantitative professional to own end-to-end valuation and daily P&L for equity autocallable products, ensuring accuracy and alignment with market data and policies. You will calibrate models, manage reserves under risk policies, and monitor valuations against counterparty marks while strengthening lifecycle controls for autocallable instruments.

The role requires a quantitative degree and 12+ years in equity derivatives, with strong Python/C++

Qualifications

• Advanced degree in a quantitative discipline such as Engineering, Mathematics, Physics, or similar.
• 12+ years of relevant experience in equity derivatives, structured products, or quantitative finance.
• Strong coding skills in Python, C++, or similar and ability to work with large data sets.

Responsibilities

• Pricing & Daily P&L: Own end-of-day marking and P&L production for equity autocallable products.
• P&L explanation & attribution: Decompose daily P&L into components for transparent reporting.
• Model calibration: Calibrate model and reserve parameters to observable market data.
• Model risk & reserves: Validate and rollout new pricing models; manage model reserves.
• Counterparty valuation oversight: Monitor valuations vs counterparty marks and address discrepancies.
• Controls & lifecycle monitoring: Track lifecycle events for autocallable products and reflect in valuations.

Job description

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.