Front-Office Derivatives Quant: Advanced Modeling & Risk

Selby Jennings; New York (NY); On-site; USD 160,000 - 260,000; Full time

Job summary

Selby Jennings in New York is seeking a highly capable Quantitative Analyst to join a leading investment bank's derivative modeling team. You will apply advanced quantitative methods to pricing and risk, and bridge the gap between models and trading in a front-office environment.

Ideal candidates hold a PhD or equivalent, possess deep knowledge of stochastic calculus, PDEs, Monte Carlo methods, and Black-Scholes frameworks, and are proficient in Python and/or C++.

Qualifications

• Exceptional understanding of stochastic calculus, probability, and numerical methods.
• Experience with derivatives pricing and risk models.
• Knowledge of PDE methods, Monte Carlo simulation, and Black-Scholes frameworks.
• Python and/or C++ programming skills.
• An advanced degree (PhD preferred) in Mathematics, Physics, Engineering, or a related quantitative discipline.

Responsibilities

• Develop and refine derivatives pricing models for front-office applications.
• Collaborate with trading desk to apply quantitative methods to pricing and risk.

Skills

Stochastic calculus

Probability theory

Numerical methods

Derivatives pricing

Risk models

PDE methods

Monte Carlo simulation

Python

C++

Education

PhD or higher in Mathematics/Physics/Engineering

Job description

Selby Jennings in New York is seeking a highly capable Quantitative Analyst to join a leading investment bank's derivative modeling team. You will apply advanced quantitative methods to pricing and risk, and bridge the gap between models and trading in a front-office environment.

Ideal candidates hold a PhD or equivalent, possess deep knowledge of stochastic calculus, PDEs, Monte Carlo methods, and Black-Scholes frameworks, and are proficient in Python and/or C++.