At a Glance
- Tasks: Own the pricing and valuation of equity autocallable products in a dynamic trading environment.
- Company: Join a leading financial firm in London with a focus on innovation and collaboration.
- Benefits: Competitive salary, professional development opportunities, and a vibrant workplace culture.
- Other info: Collaborative team atmosphere with opportunities for growth and learning.
- Why this job: Make an impact by ensuring accurate valuations and driving transparency in financial markets.
- Qualifications: Advanced degree in a quantitative field and strong coding skills required.
The predicted salary is between 66150 - 80850 £ per year.
This role sits at the intersection of trading, risk, and quantitative analytics, focusing on the accurate pricing and valuation of equity autocallable products. You will own the end-to-end valuation process, ensuring robust daily P&L, transparent attribution, and strong model governance across a complex structured products portfolio.
Job Responsibilities
- Pricing & Daily P&L: Own the official end-of-day marking and P&L production for all equity autocallable products, ensuring prices are accurate, consistent, and aligned with market data and internal policies.
- P&L Explanation & Attribution: Decompose daily and periodic P&L into clear components, including market movements (Greeks-based P&L), idiosyncratic events, trading activity, and other factors, to provide transparent explanations to traders, risk, finance, and senior management.
- Model Calibration: Calibrate model and reserve parameters to observable market datasets (e.g., volatility surfaces, correlations, dividends) and maintain robust calibration methodologies and documentation.
- Model Risk & Reserves: Support the testing, validation, and rollout of new pricing models; compute, review, and post appropriate model reserves in line with model risk policies.
- Counterparty Valuation Oversight: Monitor portfolio valuations versus counterparty marks, investigate and reconcile material differences, and help drive fair value and dispute resolution processes.
- Controls & Lifecycle Monitoring: Design and enhance systematic controls to track lifecycle events for autocallable products (e.g., coupon payments, barrier events, calls), ensuring accurate reflection in positions, valuations, and P&L.
Qualifications
- An advanced degree (or equivalent) in a quantitative discipline such as Engineering, Mathematics, Physics, or similar, with at least 3 years of relevant experience in equity derivatives, structured products, or quantitative finance.
- Advanced knowledge of equity derivatives products, their risk profiles (Greeks), and common valuation methodologies for structured products and exotics.
- Strong coding skills (e.g., Python, C++, or similar) and the ability to work efficiently with large datasets, automation, and analytics tools.
- Highly detail-oriented, with a strong sense of ownership, rigor, and accountability in pricing, controls, and documentation.
- Collaborative team player with strong communication skills and a willingness to support and partner with trading, risk, technology, and operations.
Equity Portfolio Pricing & Valuations employer: Millennium Management
As a KDB Developer - Equities, you will join a dynamic front office team that thrives on innovation and collaboration, working in a fast-paced environment that values your contributions. Our company offers a supportive work culture with ample opportunities for professional growth, mentorship from experienced developers, and the chance to work on cutting-edge technology platforms that are pivotal to our trading operations. Located in a vibrant financial hub, we provide a unique opportunity to engage directly with investment professionals while enjoying a competitive benefits package and a commitment to work-life balance.
