Quant Modeling

Quantitative Modeler – Equity Derivatives

Millennium is a top tier global hedge fund with a strong commitment to leveraging innovations in technology and data science to solve complex problems for the business. We are assembling a strong Quant Analytics team to build our next generation in-house analytics and trader support tools. This team develops and maintains the in-house pricing libraries to support trading in Equity Derivatives, Fixed Income, Commodities, Credit, and FX business at Millennium. Our environment is dynamic and fast-paced environment with excellent growth opportunities.

Responsibilities:

Work closely with Quants globally to develop pricing, pre-trade analysis tools and risk analytics
for our in-house pricing library, focusing on equity derivatives
Interact with Portfolio Managers and Risk Management to gather requirements, discuss
modelling approaches and methodologies for valuation and risk
Collaborate with IT to deploy the models into production environments

Mandatory Requirements:

MSc/PhD level education in a quantitative subject – such as Quantitative Finance or
Maths/Physics/Engineering
2 to 5 years of experience as Equity Derivatives quant or strat
Good knowledge of Object-Oriented Programming, preferably C++
Strong analytical and mathematical skills
Good problem-solving capabilities
Solid communication and inter-personal skills
Able to work independently in a fast-paced environment.
Detail oriented, organized, demonstrating thoroughness and strong ownership of work

Preferred Requirements:

Experience in Volatility Fitting
Experience with Python
Experience working with other asset classes (Fixed-income, FX, etc)

The estimated base salary range for this position is $175,000 to $250,000, which is specific to New York and may change in the future. Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. 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.

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