Product Control Quant Lead - Derivatives Valuation

Cumberland; Chicago (IL); On-site; USD 200,000 - 250,000; Full time

Benefits offered by this job

Medical Insurance

Dental Insurance

Vision Insurance

401k with employer match

Disability Insurance

Life and AD&D Insurance

HSA/FSA

Job summary

DRW in Chicago seeks a Product Control Quantitative Lead to focus on valuation and independent validation of options, structured products and related derivatives. You will review pricing models, validate volatility surfaces and skews, verify model inputs, and present findings to the Valuation committee.

This role requires in-office presence four days per week. You will work closely with trading desks, risk, quants and software engineers to build scalable verification tools, maintain auditable

Qualifications

• 7+ years of relevant experience in trading, banks or hedge funds.
• Experience constructing and analyzing volatility surfaces and option skews.
• Experience building tools in Python.
• Strong understanding of control functions and model governance.
• Experience with model validation or governance preferred.

Responsibilities

• Independently verify pricing models and inputs for options valuation.
• Assist middle office and commercial groups by analyzing skew data for valuation.
• Collaborate with trading desk analysts, quants and risk to validate new instruments.
• Identify unobservable inputs and test sensitivities of inputs.
• Work with software engineers to provide pricing verification system specs.
• Develop auditable valuation documentation and governance artifacts.

Skills

Volatility surfaces

Option skew analysis

Python

Model validation

Risk understanding

Job description

DRW in Chicago seeks a Product Control Quantitative Lead to focus on valuation and independent validation of options, structured products and related derivatives. You will review pricing models, validate volatility surfaces and skews, verify model inputs, and present findings to the Valuation committee.

This role requires in-office presence four days per week. You will work closely with trading desks, risk, quants and software engineers to build scalable verification tools, maintain auditable