Exotic Derivatives Modeling Intern (Hybrid, Chicago)

Milliman, Inc; Chicago (IL); On-site; USD 29,000 - 59,000; Full time

Benefits offered by this job

EAP

401(k) plan

PTO

Transit benefits

Job summary

Milliman, Inc. in Chicago seeks a quantitative developer to design and implement models for exotic derivatives, hedge pricing, and strategy testing. You will work on risk-neutral and real-world scenario development and calibrate models to market data.

The role requires strong programming skills (C++, Matlab, and Excel VBA) and experience with stochastic modeling plus the ability to work in a collaborative, results-oriented team in-person at our Chicago office.

Qualifications

• Pursuing an advanced quantitative degree (math, physics, or quantitative finance).
• Experience in quantitative financial analysis, especially portfolio and option valuation theories.
• Experience with stochastic modeling including Monte Carlo methods.
• Proficiency in C++, Matlab, and Excel VBA; understanding of object-oriented software design.

Responsibilities

• Design exotic derivative pricing models for hedge positions and strategy performance.
• Implement derivative models as VBA, C++, and C# modules.
• Develop risk-neutral and real-world scenarios for hedge testing.
• Calibrate models to market prices and historical data.
• Develop trading strategies and perform historical regression tests.

Skills

C++

Matlab

Excel VBA

Quantitative finance

Education

Advanced quantitative degree (in progress)

Job description

Milliman, Inc. in Chicago seeks a quantitative developer to design and implement models for exotic derivatives, hedge pricing, and strategy testing. You will work on risk-neutral and real-world scenario development and calibrate models to market data.

The role requires strong programming skills (C++, Matlab, and Excel VBA) and experience with stochastic modeling plus the ability to work in a collaborative, results-oriented team in-person at our Chicago office.