Quantitative Developer

Quantitative Developer

The Quantitative Developer at MPG Operations LLC in New York, NY will develop mathematical pricing, pre-trade analysis tools and risk analytics for our in-house pricing library, focusing on equity derivatives. Interact with Portfolio Managers to gather requirements, discuss mathematical modelling approaches, and methodologies for valuation and risk. Create and enhance volatility trading capabilities. Support alpha generation teams through data driven insights and robust technological solutions. Salary : $175,000 - $250,000 per year.

Minimum Requirements : Requires a Master's degree in Statistics, Mathematics, or a related quantitative field, and 2 years in a quantitative developer, or related, occupation in the financial or investment industry. Must include 2 years of experience with each of the following : 1) programming with Python and C++; 2) data analysis libraries and tools, including numpy, pandas, and scikit-learn; 3) derivative products, including vanilla and American options, variance derivatives, VIX, and barrier options; 4) equity derivatives modelling, including forward curve, vol surface construction, and calibration; 5) applied stochastic analysis and statistical analysis; 6) machine learning techniques, including linear regression, logistic regression, and tree methods; 7) numerical method and optimization techniques, including the Monte Carlo and Finite Difference methods; and 8) equity and interest rate derivatives pricing techniques, hybrid models, linear rate products pricing, and yield curve construction.

To apply please send resume to recruiting@mlp.com and reference job code "0661" when applying.