£75 - £86 per hour
about 1 month ago
To mid-Dec 2022
Interim Quantitative Advisor £86ph
An exciting interim opportunity for a Model Validation Quantitative Advisor, to join a world-leader in Energy and deliver robust and practicable validations of complex models.
This FTSE 100 organisation is at the forefront of its field in terms of sustainability, with aims to be carbon neutral by 2050, and huge amounts of investment going into sustainable energy and cutting-edge technology to support.
A full-time, initial contract to the middle of December 2022, offering up to £86 per hour (umbrella, inside IR35), with a flexible approach to working from home and in the London office.
You will sit in the Model Validation Team, who are responsible for reviewing models developed by Quantitative Analysts. As Quantitative Advisor, you will work to ensure these models function correctly, judge components against comparative models, ensure they are fit for use and escalate any issues prior to sign off.
You will develop reference valuation models, carry out statistical data analysis and model parameter estimation and engage closely with cross-functional teams across regions.
- Experience of Financial Derivatives Valuation Methodologies and Trading (including financial instruments and physical assets).
- Stochastic calculus, probability theory and Levy processes, and associated numerical methods.
- Dependence modelling experience and Pricing exposure in illiquid, incomplete markets.
- Implementing advanced numerical algorithms.
- Practical methods of estimating computational complexity and expected algorithm performance.
- C++ 17 and Python 3 programming languages, plus third-party libraries.
- Knowledge of Natural Gas markets, Power, and refined products.
- Experience in a global, matrix environment, confident engaging with stakeholders up to a senior level.
This is an urgent requirement - if interested, please apply asap and any questions, email firstname.lastname@example.org