Our client are looking for a talented and experienced individual for a front office quantitative analyst role supporting the commodities derivative desk in their offices in Germany. The successful individual will come on at Vice President level and will be covering ALL commodity products. The team is currently using a legacy library, and enhancement of this is a big priority, therefore this role gives the successful candidate the opportunity to be part of a critical new project and get real modelling experience building something from the ground up.

Responsibilities:
-Develop models and implement them in software for pricing and risk managing commodity Correlation products i.e. index and basket derivatives (exotic and vanilla)
-Partner with the trading desk on all related risk management and pricing issues.
-Develop pricing and calibration tools.
-Benchmark and compare results of various techniques including historical simulations
-Explain model behaviour and predictions to traders, identify major sources of risk in portfolios, provide guidance, and maintain smooth running of production analytics
-Liaise with sales and other groups on models and tools.
-Will be working on all commodity products with vast opportunities to work with other assets.

Ideal Candidate will have:
-Solid experience with Commodity products.
-Coding experience, preferably C++ and/or Python, with emphasis on numerical methods.
-Excellence in probability theory, stochastic processes, partial differential equations, and numerical analysis.
-PhD (or equivalent) in Mathematics or Physics, with strong quant finance knowledge.

This is an excellent opportunity to work with one of the leading teams in the industry

To apply directly for this role call 0207 019 4137 or email us your CV in word format to quantexotic@selbyjennings.com.