Valuation Analytics Job at Millennium Management LLC
Millennium Management LLC New York, NY 10022
$160,000 - $250,000 a year
Valuation Analytics
The successful candidate will help buildout internal system infrastructure focusing on the pricing and valuation of equity derivative products (delta1 and volatility products). The candidate will also be involved in the setup of new products, verification of pricing models, as well as the observation and analysis of P&L.
Principal Responsibilities
- Pricing Model Validation – Work alongside internal Quant, Risk and Development teams in analyzing, testing and rolling out new internally developed equity derivative pricing models to production along with presenting analysis to review committees.
- Product Setup – Coordinate the setup of new products across internal systems. Configure internal systems and calibrate theoretical models for the proper valuations of equity derivative products.
Qualifications/Skills Required
- 5+ years demonstrated ability
- Experience validating the pricing and risk of Equity Derivative models across options, variance/volatility swaps, total return swaps/futures, dividend swaps, and equity exotics (barrier, correlation, basket, conditionals, etc)
- Experience configuring and calibrating equity derivative theoretical pricing models and volatility configurations
- Understanding of greek p&l attribution with experience in analyzing and explaining P&L
- Experience collaborating with quant and dev teams in validating and testing new pricing and risk models
- Experience working with trading desks
- Programming experience (Python, VBA, etc)
- Detail oriented; Demonstrates thoroughness and strong ownership of work
- Standout colleague with a strong willingness to participate and help others
- Strong sense of urgency with ability to prioritize in a fast moving, high pressure environment
Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. The estimated base salary range for this position is $160,000 to $250,000, which is specific to New York and may change in the future. When finalizing an offer, we take into consideration an individual’s experience level and the qualifications they bring to the role to formulate a competitive total compensation package.
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