Equity Valuations Analyst

Equity Derivatives Valuation Strat is assembling a new team to design, implement and operate their next generation platform to provide firm wide real-time valuations, risk and P&L for all Equity products, including listed instruments and exotics. This is an exceptional opportunity for an experienced sell-side Quant or Strat to join Millennium, with great growth potential.

Job Responsibilities

• Drive the development of a best-in-class Equity Valuations, Risk and PnL Explain platform, with a focus on pricing models for Equity Derivatives products (including volatility surface fitting, and associated Risks / PnL decomposition)
• Maintain and support the existing processes to provide continuous firm wide risk and P&L.
• Review model fitness and quality of calibration for the purpose of pricing and PnL Explain. Develop systematic controls to validate critical model inputs used for pricing and risk management.
• Collaborate closely with the Technology, Middle Office, Trading and other Quant groups
• Present pricing models and findings to senior stake-holders

Qualifications

• An advanced degree or equivalent in a quant subject such as Engineering, Mathematics, or Physics
• Experience in implementing equity derivatives pricing models and risks - e.g. Local Volatility and Volatility Surface fitting methods
• Strong coding skills in an OO-language
• Detail oriented; Demonstrates thoroughness and strong ownership of work, with a good sense of urgency
• Team player with a strong willingness to participate and help others

Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. The estimated base salary for this position is $100,000 which is specific to New York and may change in the future. When finalizing an offer, we take into consideration an individual’s experience level and the qualifications they bring to the role to formulate a competitive total compensation package.

#LI-DNI