FID, Front Office Derivatives Quant
About The Position
The Fixed Income Division is comprised of Interest Rates and Currency Products, Credit Products, and Distribution. Professionals in the Division assess and actively manages risk, trade securities, and structure as well as execute innovative transactions in the fast-paced and constantly changing global markets. The Commodities Division is a market leader in energy, metals, and agricultural product trading worldwide whose professionals trade in both physical and derivative commodity risk. We are a front-office quantitative trading team focused on pricing, risk management, and trading of derivatives. Our work sits at the intersection of stochastic analysis, optimization, and real time algorithmic trading. This role is for a researcher who enjoys developing mathematical ideas into working production models.
Requirements
- Ph.D. in Mathematics, Operations Research, or a closely related field
- Strong foundation in stochastic calculus
- Good sense of Humor
- Proficiency in Python
Nice To Haves
- Background in stochastic control or optimization
- Experience with derivative modeling
- Familiarity with Java
- Prior exposure to algorithmic trading
Responsibilities
- Develop and refine derivative pricing models using stochastic calculus and probability theory, with a focus on how the hedging works
- Design and implement algorithmic trading strategies that coordinate derivatives and their underlying instruments across short time horizons (days to weeks)
- Apply stochastic optimal control to dynamic portfolio optimization and risk management
- Work closely with traders to translate mathematical insight into trading decisions and iterate rapidly based on market feedback.
- Build robust, production-quality research code in Python (and occasionally Java)
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What This Job Offers
Job Type
Full-time
Education Level
Ph.D. or professional degree
