Quantitative Analyst - Volatility Pricing

Aurum Search Limited; New York (NY); On-site; USD 180,000 - 260,000; Full time

Job summary

Aurum Search Limited, a premier Global Hedge Fund, is seeking a member for its newly formed Quantitative Pricing team to architect and build next-generation pricing and risk systems from the ground up, directly supporting their expanding Volatility desks.

You will bridge the gap between high-level mathematical modelling and high-performance production engineering, delivering scalable pricing tools and robust risk analytics for fast-moving markets.

Qualifications

• Experience with building derivative valuation models.

Responsibilities

• Review and evaluate existing pricing models.
• Develop alternative benchmark models to assess risk.
• Collaborate with developers to design and implement the new production pricing framework.

Skills

Derivative valuation models

Job description

Join a premier Global Multi-Strategy Hedge Fund as a member of a recently established Quantitative Pricing team.

This is a "greenfield" opportunity to architect and build next-generation pricing and risk systems from the ground up, directly supporting their expanding Volatility desks.

You will bridge the gap between high-level mathematical modelling and high-performance production engineering.

Responsibilities

• Review and evaluate the existing pricing models
• Develop alternative benchmark models to assess risk
• Work closely with developers to design and implement the new production pricing framework

Requirements

• Experience with building derivative valuation models