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Quantitative Researcher - Equity Volatility

Millennium Management

London

On-site

GBP 60,000 - 80,000

30+ days ago

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An established industry player is seeking a Quantitative Researcher to join their innovative team focused on equity volatility. This role offers the opportunity to work closely with engineers, quants, and data scientists in a collaborative environment that values work/life balance and excellence. You will engage in data generation and alpha research while interacting with portfolio managers to refine modelling approaches. If you're passionate about equity derivatives and thrive in a fast-paced setting, this is your chance to contribute to cutting-edge trading capabilities and make a significant impact.

Substantial experience with equity derivatives modelling and vol surface fitting.
Strong analytical skills and ability to work independently in a fast-paced environment.

Focus on data generation, alpha research, tools, and analytics in vol trading.
Interact with portfolio managers to discuss modelling approaches and methodologies.

Equity Derivatives Modelling

Analytical Skills

Problem-Solving

Communication Skills

Detail Orientation

Python

q/kdb+

SQL

Airflow

Unix

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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