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Commodities Quantitative Strategist

New York, New York

Post Date: 07/07/2017 Job ID: 1157 Industry: Energy-Front Office

A global energy merchant trading company is searching for an experienced power & gas quantitative strategist to undertake power structuring activities. This position is part of the Commercial team and works directly with the Originators, Traders, Quants and Customers to put together competitive deals and products. Key responsibilities include 1) designing complex valuation and price models for structured products including tolling agreements, full requirements / load-following deals, PPA agreements, shaped products, revenue puts, swaptions, weather contingent derivative products, basket options, heat rate options, RECs and other physical/financial/derivatives and 2) ongoing modeling enhancements and backtesting to the pricing engine.

Educational and professional requirements include a PhD in a quantitative field (mathematics, engineering, physics, statistics, etc.); 2-5 years'  of total professional experience in a power or gas quantitative role (required) and ideally with prior experience pricing and structuring complex and transactions (exotic options, bespoke structures) or experience building or enhancing pricing models is preferred; strong understanding of embedded optionality and drivers; and experience with coding is required.


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