Index Flow Options Trader

DESCRIPTION:

Duties: Pricing and optimally executing equity derivatives transactions using advanced mathematical/stochastic pricing models and numerical techniques such as Monte Carlo simulation and lattice methods.

Analyzing, optimizing, hedging and managing risks of equity derivatives portfolios by monitoring current and historical market conditions and portfolio's structure.

Reconciling P&L figures of portfolios by tracking, analyzing, and interpreting market factors (yields, dividends, and implied volatility) and calibrated pricing model parameters that affecting portfolio's fair value and behavior.

Using financial and scenario analysis to generate end of day portfolio reports and prepare plans for action for next day's trading activities.

Evaluating and understanding the quality and strengths of a broad range of equity derivatives under different financial and economic conditions to optimize portfolio's positions in different scenarios.

Understanding the theory behind and the specifics of implementation of derivatives pricing models and model behaviors under different market conditions to improve the accuracy of risk management.

Applying mathematical and statistical modeling techniques (regression analysis, etc.) to interpret current financial market and economic conditions to better predict economic and investment trends, understand portfolio behaviors, and generate more trading strategies to optimize and risk manage EQD portfolios.

Code in Python to develop trading tools to automate daily trade lifecycle events management and generating various trading/financial reports (risk scenario report, portfolio position report, model calibration report, etc.) for derivatives trading business.

Collaborating with quantitative analysts to enhance existing pricing models and develop next generation of advanced pricing models and algorithms to more accurately price equity derivative products.

Conducting market research by applying cutting edge mathematical models and technologies to contribute to business growth.

This position requires up to 10% domestic and international travel.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Financial Engineering, Finance, or related field of study plus three (3) years of experience in the job offered or as Equity Derivatives Trader; Structured Products Manager; Analyst, or related occupation.

Skills Required: This position requires two (2) years of experience with the following: Scripting programming languages, including Python 3.7 with experience with data science libraries including: pandas, numpy, seaborn, sci-kit learn, and statsmodels; Modern mathematical methods used to estimate the fair value of equity derivatives (including options, variances swaps, volatility swaps) including: diffusive stochastic processes (including geometric Brownian motion with local volatility) and numerical methods including: Monte Carlo, finite difference methods; applying statistical (including PC...