Commodities Quant to develop index for a new fund. This is a unique opportunity with a billion dollar commodities firm. They are seeking an individual who has strong working experience in a finance / commodities firm working in either quantitative or research type role.
You will be responsible for setting up an index for a new fund comprising of a broad array of commodity products. The fund is a new set up, therefore it is a less structured environment and offers lots of scope for development. This is a high profile role for the company and has plenty of backing and very large resources dedicated to it.
The medium term opportunity is to grow and develop a team in this fund as it grows. This opportunity will suit senior entrepreneurial minded Quantitative professionals, looking to develop their careers within the commodities industries. The successful candidates will have a at least 8-10 years of Quantitative , Model Validation and Pricing Models experience, along with advanced C++ numerical coding on Commodities. Detailed knowledge of relevant financial products and models with a proven tract record of their implementation including: Black-Scholes Pricing Theory, Probability Theory, Stochastic Integration, Numerical Methods (Monte Carlo with acceleration schemes, multi-factor PDE, trees), IR models incl. BGM/HJM, IR calibration methods incl. SABR, smile model, stochastic vol models, is essential. Academically a minimum of an undergraduate degree in a Mathematics or Financial engineering (or similar) is required. An MSc/PhD would be a big plus. However th most important is practical experience and interest in developing this key new division.
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