Model Validation Quantitative Advisor / London

We have a current opportunity for a Model Validation Quantitative Advisor on a contract basis. The position will be based in London (hybrid). For further information about this position please apply.

The Model Validation Team sits within Finance, specifically Trading & Shipping T&S and provides effective assurance of quantitative models used in T&S, through delivery of independent model validations. Our validation activities range from core valuation models used for derivative pricing, to validation of models used in the derivation of price/parameter input curves. The team's operations span across Singapore, London, USA, covering T&S's global Gas, Oil and Power trading activities.

As a senior analyst you will be responsible for delivering practicable validations to models of various complexity. The role involves the development of reference valuation models, statistical/time-series data analysis and model parameter estimation and offers regular interaction with risk teams, traders, technology teams and front office quants at all levels and across all regions.

Essential education:

• Undergraduate degree, plus PhD or MSc degree in a quantitative subject area, (e.g. physics, mathematics, electrical engineering or mathematical finance).

Essential experience and job requirements:

• Practical experience of:

1. Financial derivatives valuation methodologies and the fundamentals of trading including familiarity with financial instruments and physical assets.
2. Stochastic calculus, probability theory and Levy processes, and associated numerical methods for their practical implementation, including advanced Monte Carlo methods, transform techniques and PDEs. To include local and stochastic volatility, jump and regime-switching models.
3. Dependency modelling, including copulas, cointegration and local correlation approaches.
4. Pricing in illiquid, incomplete markets. To include utility function-based approaches.
5. Optimization, stochastic control, stochastic dynamical programming and numerical linear algebra.
6. Implementing advanced numerical algorithms.
7. Practical methods of estimating computational complexity and expected algorithm performance.
8. C++ 17 and Python 3 programming languages, plus third-party libraries, including Boost, MKL, pybind11, NumPy and Pandas.

• Good knowledge of US, UK and European Natural Gas markets, power, crude oil and refined products, LNG, environmental products and FX.
• Lead initiatives, influence and participate in decisions and collaborate effectively with commercial and functional partners.