Quantitative Analyst – Derivatives & Volatility (C++/Python)

JCW Group; New York (NY); On-site; USD 200,000 - 260,000; Full time

Job summary

JCW Group partners with a global investment bank to recruit a VP-level Quantitative Analyst focused on designing, implementing, and maintaining derivative pricing models and volatility modelling tools used across the firm’s commodities trading business.

The ideal candidate is a strong quantitative modeler who can move between theoretical model design and production code, with deep experience in derivatives pricing and volatility modelling.

Qualifications

• Strong experience in derivatives pricing and volatility modelling within a financial institution.
• Proficiency in C++ and Python for numerical computing and model development.
• Experience with source control, CI, testing, and release processes.
• Familiarity with Monte Carlo methods, PDE solvers, and volatility calibration techniques.
• Experience with model documentation and model validation processes.
• Exposure to commodities markets such as power, gas, spread options, storage, or energy derivatives strongly preferred.
• Based in New York City or Houston.

Responsibilities

• Design, implement, and maintain derivative pricing models and volatility tools.
• Work with traders, structurers, and risk managers to deliver analytics.
• Ensure models run in a live trading environment with production code quality.

Skills

Derivatives pricing

Volatility modelling

C++

Python

CI/CD

Source control

Monte Carlo

PDE solvers

Model validation

Commodities markets

Tools

Git

Job description

JCW Group partners with a global investment bank to recruit a VP-level Quantitative Analyst focused on designing, implementing, and maintaining derivative pricing models and volatility modelling tools used across the firm’s commodities trading business.

The ideal candidate is a strong quantitative modeler who can move between theoretical model design and production code, with deep experience in derivatives pricing and volatility modelling.