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Quantitative Strategist

London, UK

Job Summary

Developing our pricing library, by adding models for new types of transactions. MSc Degree or higher qualification in Financial Engineering and Mathematical Finance.

Details

Based in our offices in London, the successful candidate will be a part of our Quantitative Strategists team and will be responsible for pricing models, risk management tools, and quantitative structuring functions across Mercuria’s businesses. We are looking for a strong junior candidate will be responsible for the following duties:

Developing our pricing library, by adding models for new types of transactions;
Improving usability and quality of market data and trade information in our systems;
Contributing to the modelling of volatility for complex products;
Documenting and testing our pricing library, in collaboration with IT and risk teams;
Building pricing tools for traders and originators, to streamline existing business and support new business developments;
Building risk reports for middle officers and risk officers;
Enhance risk systems to accommodate new deals or risk reports, in collaboration with IT;
Calibrating pricing models to market observables or historical price information, in close collaboration with traders;
Back-testing hedging and trading strategies;
Calculating credit exposures for long term or structured deals;
Participating in pricing and structuring of complex deals.

The successful candidate will possess the following qualifications, knowledge, skills and experience:

Demonstrable numerical and analytical skills;

MSc Degree or higher qualification in Financial Engineering and Mathematical Finance
Demonstrable experience within commodity and energy markets;
Experience in building greenfield risk reports
Coding experience required in C++/C#;
Experience in designing and implementing analytics pricing libraries;
Ability to translate complex mathematical problems into a deliverable solution;
Structured, independent and result-driven mind set.
Excellent English skills are required.

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  • Min Education: MA/MS
  • Min Experience: None

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