Equity Derivatives Quant
New York, NY
Posted Oct 6, 2022 - Requisition No. 110096
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
- 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 stakeholders
You'll need to have:
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 the next steps, but in the meantime feel free to browse this: http://www.bloomberg.com/professional
Bloomberg is an equal opportunity employer and we value diversity at our company. We do not discriminate on the basis of age, ancestry, color, 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 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.
The referenced salary range is based on the Company's good faith belief at the time of posting. Actual compensation may vary based on factors such as geographic location, work experience, market conditions, education/training and skill level.We offer one of the most comprehensive and generous benefits plans available and offer a range of total rewards that may include merit increases, incentive compensation [Exempt roles only], paid holidays, paid time off, medical, dental, vision, short and long term disability benefits, 401(k) +match, life insurance, and various wellness programs, among others. The Company does not provide benefits directly to contingent workers/contractors and interns.
Salary Range: 155,000 - 285,000 USD Annually + Benefits + Bonus