Equity Derivatives Quant Analyst | London | Bloomberg Careers

Equity Derivatives Quant Analyst

Careers at Bloomberg

Back to Search


Posted Oct 5, 2022 - Requisition No. 101770

The Team:

Bloomberg's Equity and Convertibles Quant Team is responsible for the design and implementation of analytics that support the calibration of equity implied data (forward curves, implied volatilities) and the pricing & risk of equity derivatives ranging from vanilla products and light exotics to the most sophisticated exotics including structured products and Convertible bonds.
These analytics serve the entire suite of Bloomberg products and services, including its terminal with 300,000+ clients, trading system solutions, enterprise risk management, and derivatives valuation services.

What’s the  Role?

The Equity and Convertible Quant Team is looking for a derivatives quant experienced in the design and implementation of equity derivatives pricers, implementation of routines for the calibration of implied data, e.g. implied volatility, implied dividends, borrow costs, etc.

We’ll trust you to:

  • Review existing pricing engines, identify misbehavior (e.g. accuracy of calibration, stability of Greeks, etc…) and be able to investigate them and propose improvements
  • Assess model fitness for purpose by reviewing quality of P&L explain and be able to identify areas of improvement
  •  Design and implement equity derivative pricers, e.g. PDE pricer for single asset derivatives, volatility derivatives pricers, e.g. variance swaps, volatility swaps, VIX options, …
  •  Review existing implied data calibration algorithms and propose & implement improvements
  • Design & implement more robust & stable alternatives, e.g. explore & propose new parametrisation of the implied volatility, design more appropriate filtering rules for market data quotes input of the calibration, …
  • Be able to investigate misbehavior in the implied data calibration when they arise
  • Collaborate with engineering to agree best ways to integrate quant models, e.g. definition of appropriate quant APIs
  • Collaborate with quant developers to keep up to date with new developments and coordinate their integration within the equity library.
  • Interact with the business & external clients to present tools/findings 

You'll need to have:

  • 7+ years of experience*
  • Valuation modeling: experience in design & implementation of equity derivatives pricers local volatility, hybrid local volatility, local stochastic volatility, or Bergomi models.
  • Proven working experience with one of the following asset classes: Equities, Commodities, or FX
  •  Implied data: experience in building implied market data e.g. implied dividends, implied volatility  and a demonstrated track record of being successful at providing stable and accurate tools.
  • Proven knowledge of  C++
  • Demonstrated effective communication with both internal and external partners

We’d love to see:

  • Experience in Statistics, Kalman filter, Bayesian inference, maximum likelihood
  • Highly motivated individual who takes initiative and engages with clients, business & management to identify needs and propose/discuss solution
  • Collaborative mindset who seeks advice from colleagues and internal clients and is able to navigate the organization to identify synergies and leverage the work of others.
    *Please note we use years of experience as a guide, but we certainly will consider applications from all candidates who are able to demonstrate the skills necessary for the role. 
    If this sounds like you:Apply if you think we're a good match! We'll get in touch with you to let you know what the next steps are.Bloomberg is an equal opportunity employer and we value diversity at our company. We do not discriminate on the basis of age, ancestry, colour, gender identity or expression, genetic predisposition or carrier status, marital status, national or ethnic origin, race, religion or belief, sex, sexual orientation, sexual and other reproductive health decisions, parental or caring status, physical or mental disability, pregnancy or maternity/parental leave, protected veteran status, status as a victim of domestic violence, or any other classification protected by applicable law.
    Bloomberg is a disability inclusive employer. Please let us know if you require any reasonable adjustments to be made for the recruitment process. If you would prefer to discuss this confidentially, please email emea_recruit@bloomberg.net. Alternatively, you can get support from our disability partner EmployAbility, please contact +44 7852 764 684 or info@employ-ability.org.uk
    Why Bloomberg?
    Bloomberg is committed to diversity. It drives our innovation. At Bloomberg, you'll have the opportunity to go above and beyond and to take risks. You'll be a part of an organization that is entering new markets, launching new ventures, and pushing boundaries. Our ever-expanding array of technology, data, news, and media services fosters innovation and empowers clients -- and offers nearly limitless opportunities for career growth

Similar jobs

    The Bloomberg Talent Network

    Stay connected with us and be among the first to learn about new job opportunities. We’ll use the information you provide to help us get in touch with you to align your expertise with our opportunities and better direct our conversations.