Top UK investment bank seeks experienced Commodity quant for a role within its derivative valuation group. The valuations product teams specialise in building quantitative models for pricing vanilla and exotic derivatives across the major asset classes. Your role will be to extend the commodity framework to price various exotics, designing system analytics such as forward curves, volatility surfaces and pricing models, providing commodities expertise to the operational valuations teams and managing one or two junior commodity pricing analysts. You will also be involved in meeting clients alongside the sales team as the commodities product specialist, to help grow revenues in this asset class and contributing to company-wide commodity initiatives via an internal working group.



Qualifications:

Financial markets experience, including within commodity derivatives (with an energy focus) gained within a bank or trading house
Excellent analytical, quantitative and problem-solving abilities
Solid practical and theoretical knowledge of mathematical finance: Stochastic calculus, Stochastic Volatility, PDE’s, in depth knowledge of probability. Etc.
Proficiency using Excel and VBA
Top academic background with highly numerate post graduate degree from a top 5 institution.
Any experience managing or mentoring junior staff would be desirable
Any previous commercial exposure or client-facing skills would be desirable


To apply or for more information, please contact quantexotic@selbyjennings.com

www.selbyjennings.com