Associate, Pricing Direct

Job description

Title: Associate, Pricing Direct

Job Location: New York, NY

DESCRIPTION:

Duties: Generate prices for various derivatives, including foreign exchange and equity vanilla and exotic options, forwards and swaps. Work closely with research and trading to implement new products and pricing models aimed towards expanding product coverage and client base. Work with technology on creating alternative pricing tools for equity options and total return swaps aimed towards automating and scaling the pricing process. Participate in periodic and ad-hoc client meetings and due diligence meetings. Present complex pricing methodologies to clients and auditors, including the Black-Scholes model, Stochastic Volatility models, Binomial and Trinomial tree pricing models and Monte Carlo simulation based models. Provide market color on the inputs of pricing models, such as spot rates, forward curves and volatility surfaces and explain their impact on prices. Perform quantitative and information/ statistical/ data analysis, including analysis of price movements, comparison of inputs and outputs of pricing models, and various risk measures and price sensitivities (Greeks). Interact with trading desk and various research teams to stay abreast of evolving macroeconomic environment. Monitor market activity and financial news throughout the trading day to ensure that the inputs used in pricing models (such as spots, forwards, dividends, interest rates and volatilities) are properly capturing current market conditions. Define and implement quality control procedures, identify shortcomings in existing processes and ways to improve them. Communicate regularly with clients on all aspects of the daily pricing and challenge process in a timely, clear and professional manner. Resolve any complex product or client related issues. Meet tight daily deadlines for price deliveries and immediately address all price challenges and client inquiries. Provide guidance to more junior team members. Perform programming tasks in VBA and python.

Desired profile

QUALIFICATIONS:

Minimum education required: Master's degree or equivalent in Financial Engineering, Mathematics, Engineering (any), or related quantitative field.

Minimum experience required: 2 years of experience in derivatives pricing, quantitative research or analysis, or related experience.

*Skills required: Must have demonstrated knowledge of derivatives and fixed income products, such as vanilla options, barrier options, digital options, basket options, deliverable and non-deliverable forwards, futures, interest rate, currency and commodity swaps, equity and commodity linked notes, certificates of deposit, commercial paper, asset backed commercial paper, and repurchase agreements. Must have demonstrated knowledge of complex pricing models and price sensitivities/Greeks (such as delta, gamma, vega, theta, rho), including the Black-Scholes model, Stochastic Volatility models, Binomial and Trinomial pricing models, and Monte Carlo simulation-based models. Must have demonstrated knowledge of the term structure of interest rates, bond pricing models and sensitivities (including duration DV01/PV01, and convexity), and OIS discounting. Must have demonstrated experience explaining to clients and auditors about complex pricing models, their inputs and outputs, the role of various metrics in the pricing of specific trades, and observed market trends. Must have experience performing quantitative research and data analysis in order to implement pricing models, and validate input data and pricing output. Must have demonstrated technology skills in VBA and python programming and database knowledge (Access) to implement new models and quality control procedures. Must have experience using Bloomberg and Reuters.