Derivative Quant Engineer – Commodity & FX Modeling

Scotiabank; New York (NY); On-site; USD 155,000 - 185,000; Full time

Job summary

Scotiabank’s Global Analytics and Financial Engineering team seeks a highly quantitative developer to build and validate valuation models for commodity and FX derivatives. You will implement robust analytics for pricing, hedging, risk management and P&L attribution, while collaborating across risk, product control and technology.

The role requires advanced degrees in quantitative fields, hands-on experience with PDEs and Monte Carlo methods, and strong programming in C++ (C++11+) with

Qualifications

• PhD or MSc in Mathematics, Computer Science, Software Engineering, Physics or other quantitative areas.
• 1-4+ years’ experience in Commodity/FX derivatives and their valuation models.
• Solid background in PDE, Monte-Carlo and stochastic calculus.
• Strong programming skills in C++, C++11 or higher; Python/Scala experience.

Responsibilities

• Develops valuation models for Commodity and FX derivatives, ensuring theoretical soundness and accuracy.
• Creates robust front office analytics for pricing, hedging, risk management and P&L attribution.
• Provides timely quantitative support on valuation, risks, PnL attribution, hedging.

Skills

C++

Python

Scala

Communication

Teamwork

Education

PhD or MSc in quantitative field

Job description

Scotiabank’s Global Analytics and Financial Engineering team seeks a highly quantitative developer to build and validate valuation models for commodity and FX derivatives. You will implement robust analytics for pricing, hedging, risk management and P&L attribution, while collaborating across risk, product control and technology.

The role requires advanced degrees in quantitative fields, hands-on experience with PDEs and Monte Carlo methods, and strong programming in C++ (C++11+) with