Commodity Quantitative Strategist

Houston, TX 77046 | Work from home flexibility

Posted: 07/12/2023 Industry: Energy-Front Office Job Number: 1730

Job Description

A global energy trading merchant seeks an experienced power & gas quantitative professional to join a commercially oriented Strats team. The Quantitative Strategist works directly with the originators, traders, quants, and customers to price derivatives and structure complex, competitive deals and products. The pricing methods use a combination of emerging techniques/methods, including data science, fundamental analysis, optionality, and stochastic processes, to develop forward views used for the valuations of structured deals. Examples of energy deals include wind, solar, battery storage optimization, bitcoin mining power supply with optionality, heat rate call options, revenue puts, load deals, tolling agreements, gas storage & transportation, and other physical/financial complex structured products across power and gas.

Key responsibilities include:
  • Developing, documenting, and testing the pricing library,
  • Calibrating pricing models to market observables or historical price information, in close collaboration with traders and originators,
  • Calculating credit exposures for long-term or structured deals,
  • Participating in pricing and structuring of complex deals,
  • Building risk reports and pricing tools for traders, originators, middle officers, and risk officers, and,
  • Enhancing risk systems to accommodate new deals or risk reports, in collaboration with IT.
The hiring manager is searching for a quantitative professional with a background in commodities and energy (power, gas, crude oil, refined products) and an interest in translating complex mathematical problems into deliverable solutions. The ideal candidate can understand or learn the math behind structured deals, build/optimize rigorous quantitative models, write code in a robust framework (production-style way), and organize the interface with systems/data/pricing libraries. 

Educational and professional requirements include:
  • An advanced degree (Ph.D. or master’s) in a quantitative field (hard sciences required - mathematics, engineering, physics, computer science, etc.).
  • Strong numerical and analytical skills.
  • Experience with mathematical finance, derivatives, option pricing, and stochastic calculus.
  • Strong understanding of embedded optionality and drivers. 
  • Minimum 2-7 years of professional experience in a power or gas quantitative role in an energy trading firm, investment bank, utility, IPP, or energy consulting.
  • Experience with pricing model development and back-testing. Writing and building pricing or valuation models and libraries in a production environment, including back-testing and risk integration.
  • Experience pricing and structuring complex power and/or gas transactions (exotic options, bespoke structures, etc.) desired.
  • Experience in Python and an object-oriented language (C#, C++, Java, or similar) required.
  • Good communication skills, and
  • Ability to work in a fast-paced environment.

This position is located in Houston, TX. Employees work a combination of a few days in the office and remotely.
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