Quantitative Researcher - Equity Volatility

Millennium Management
London
1 month ago
Applications closed

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Quantitative Researcher - Equity Volatility

Millennium, a leading global investment management firm is assembling a new specialized team of engineers, quants and data scientists to design, build, deploy and operate their next generation research and trading capabilities. The VAD team (Volatility Alpha Development) works jointly with portfolio managers, trading and operations. The culture of the team is entrepreneurial, where work/life balance; ownership and excellence are highly valued.

Responsibilities:

  • Work closely with other team members to focus on data generation, alpha research, tools and analytics focusing on vol trading space
  • Interact with portfolio managers to gather requirements, discuss modelling approaches and methodologies for research, valuation and risk

Requirements:

  • Substantial experience with equity derivatives modelling, vol surface fitting and backtesting systems
  • Experience with Python, q/kdb+, SQL, parallel/cloud computing, Unix, Airflow
  • Solid familiarity with equity derivatives market, including listed options, futures, variance swaps, VIX, and other derivatives
  • Some knowledge of common volatility trading strategies including dispersion, relative value, VIX complex
  • Some experience working with large datasets including options order-book and tick data in general
  • Strong analytical and mathematical skills, problem-solving capabilities and communication skills
  • Able to work independently in a fast-paced environment
  • Detail oriented, organized, demonstrating thoroughness and strong ownership of work

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