VP/Director, Quantitative Analyst - Commodities Quantitative Strategies and Data Group

Bank of America; United States; On-site; USD 140,000 - 210,000; Full time

Job summary

Bank of America is seeking a mid-to-senior Quantitative Analyst for its Commodities Quantitative Strategies and Data Group. The role focuses on designing and maintaining derivative pricing models and volatility tools used across the global commodities trading business.

The candidate should have strong quantitative finance skills, hands-on C++ and Python development experience, and relevant derivatives pricing exposure.

Qualifications

• Advanced degree in Mathematics, Physics, CS, Financial Engineering or related field.
• Experience in quantitative analytics or development in a financial institution.
• Strong derivatives pricing and volatility modelling experience; commodities experience preferred.
• Solid knowledge of volatility modelling techniques and pricing theory.
• Proficiency in C++ and Python for numerical computing and model development.
• Experience with structured software development environments and CI/CD processes.

Responsibilities

• Develop, implement, and maintain pricing and risk models for commodities derivatives.
• Build pricing models for power, gas, storage and other non-standard derivatives.
• Design scalable model pricing code and analytics platforms for risk and trading.
• Collaborate with traders, risk managers, and model validation teams.
• Write production-ready C++ and Python code and modernize analytics infra.
• Produce thorough model documentation for governance and regulatory needs.
• Support day-to-day analytics and platform improvements.

Skills

C++

Python

Derivatives pricing

Volatility modelling

Quantitative finance

Monte Carlo methods

PDE solvers

CI/CD

Communication skills

Education

MSc/PhD in a quantitative field

Tools

Git

Linux

CI/CD toolchains

Job description

Job Overview

We are seeking a talented and driven Quantitative Analyst to join our Commodities Quantitative Strategies and Data Group (QSDG). This mid‑to‑senior level role focuses on the design, implementation, and maintenance of cutting‑edge derivative pricing models and volatility modelling tools used across our global commodities trading business. The ideal candidate will have a strong background in quantitative finance, robust software development skills in both C++ and Python, and prior experience working on derivatives pricing models. Experience in commodities is preferred, with particular interest in candidates who have worked on gas and power products, energy derivatives, volatility modelling, or complex physical/financial commodity products. Candidates from FX, equities, rates or other asset classes with strong derivatives pricing and volatility modelling experience will also be considered.

Given the nature of the role, we are especially interested in candidates who can combine strong modelling intuition with hands‑on implementation skills, including the ability to develop and support pricing models and analytics library in production.

Key Responsibilities

• Develop, implement, and maintain pricing and risk models for a wide range of commodities derivatives.
• Work on pricing models for commodities products, with potential focus areas including power, gas, spread options, storage, structured products, and other non‑standard commodity derivatives.
• Design and build scalable model pricing code and quantitative software platforms that support risk analytics and trading needs.
• Work closely with traders, structurers, and risk managers to deliver high‑performance analytics and model‑driven tools.
• Write high‑quality production code in C++ and Python, and contribute to the ongoing modernization of the analytics infrastructure.
• Write comprehensive model documentation to support internal governance and regulatory requirements.
• Collaborate with model validation and risk control teams throughout the model approval lifecycle.
• Support day‑to‑day analytics needs and participate in the continuous improvement of the platform.

Qualifications

• Advanced degree (MSc/PhD) in a quantitative discipline such as Mathematics, Physics, Computer Science, Financial Engineering, or related quantitative field.
• Experience in a quantitative analytics or quantitative development role within a financial institution or a relevant industry.
• Strong experience in pricing and modelling derivatives, preferably in commodities, but FX, equities, or other complex products also considered.
• Solid knowledge of volatility modelling techniques and derivative pricing theory.
• Proficiency in C++ and Python for numerical computing and model development.
• Knowledge of working within a structured software development environment. Use of source code control systems, continuous integration environments, testing, release processes, etc.
• Excellent problem‑solving skills, attention to detail, and strong communication abilities.
• Experience with model documentation and familiarity with model validation processes is a strong plus.

Preferred Skills

• Exposure to commodities markets (including, but not limited to power markets, gas and power products, power options, structured power products, heat‑rate products, storage, transmission, weather‑linked products, or other energy derivatives).
• Familiarity with Monte Carlo methods, PDE solvers, and volatility calibration techniques.

Shift

1st shift (United States of America)

Hours Per Week

40