| Work from home flexibility
Industry: Energy-Front Office
Job Number: 1685
A global energy merchant trading company is searching for a senior professional to join a commercially oriented Quantitative Strategist team to support their growing and sophisticated power and natural gas structured transactions business. The global Quantitative Strategist team is responsible for pricing models, quantitative structuring functions, and risk management tools. This position is part of a global team and a leader for the North American business. There is daily interaction with traders and originators.
This position will solve interesting quantitative problems and develop valuation models for power, renewable power, natural gas, and oil products. The pricing methods use a combination of emerging techniques/methods including data science, fundamental analysis, optionality, and traditional stochastic processes to develop forward views used for 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, etc.
In addition to supporting the pricing library, this role also involves pricing/structuring the deals with the commercial team.
Educational and Professional Requirements
- Lead the pricing library framework in a cross-functional, commercial environment with originators, traders, quantitative strategists, and risk professionals.
- 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 who has a background in commodities and energy (power, natural gas, crude oil, refined products) and has an interest in translating complex mathematical problems into deliverable solutions. The ideal candidate has financial mathematical skills with structured deals, can build/optimize rigorous quantitative models, can write code in a robust framework (production-style way), and can organize the interface with systems/data/pricing libraries. Key requirements include:
This position can be located in Greenwich, CT or Houston, TX.
- An advanced degree (PhD or Master’s) in a quantitative field (hard sciences required - mathematics, engineering, physics, computer science, etc.),
- Experience with mathematical finance, derivatives, option pricing, and stochastic calculus,
- 5-10+ years of professional experience in a quantitative role in the commodities/energy markets (power, renewable power, natural gas, crude oil, and / or refined products) and preferably experience working in a trade floor environment,
- Experience with model development and back-testing,
- Strong understanding of embedded optionality and drivers,
- Experience in Python and an object-oriented languages (C#, C++, Java, or similar),
- Strong numerical and analytical skills,
- Good communication skills, and
- Ability to work in a fast-paced environment.