(this is an archived job displayed for information purposes only)
Company:
Commodity Appointments Ltd
Location:
Switzerland
Remuneration:
Negotiable
Ref no:
3055
Major Swiss energy trading shop is expanding its structuring/structured products capability, and wants another senior quant to work on the trading floor, ideally with strong energy complex experience (esp fuels: gas, coal, fuel oils) and the ability to be lead-quant in a team of 4.
Main responsibilities will include:
Designing pricing algorithms and dynamic hedging strategies for a wide range of energy non-standard products (e.g. gas storages and swing contracts, virtual and physical power plants, pipelines ...) and energy portfolio with embedded optionality.
Leading the implementation of the corresponding robust and user-friendly suite of tools for Front Office.
Building and maintaining volatilities and correlations term-structures over a large set of energy commodities.
Providing on request analytical support for developing the company’s portfolio and assessing new structures and assets opportunities.
Requirements
3+ years of experience as a quantitative analyst in the financial markets (preferably with a focus on power and gas derivatives).
Solid practical and theoretical knowledge of financial engineering: stochastic calculus, trees, Monte Carlo, “Greeks”, basic statistics, etc.
Strong scientific programming skills: proficiency using Excel/VBA, Object-Oriented programming (C#/C++) highly desirable, Matlab is a plus.
Top academic background (PhD, DEA level) in Mathematics, Physics or Financial Engineering
Outstanding analytical and problem-solving skills
The ideal candidate will be an excellent written and verbal communicator able to translate business requirements into mathematics and a team player eager to build and maintain credible relationships at various levels. Any previous commercial exposure and the desire to mentor junior staff would be preferable.
