Role Summary
Aubay UK is seeking an experienced Quantitative Analyst/Researcher to join our team. The ideal candidate will bring extensive expertise in energy commodities trading and quantitative modelling, paired with an advanced academic background in a quantitative discipline. This role involves contributing to cutting-edge projects, pricing complex option structures, and building robust models to drive analytical excellence within our front office. This role involves significant travel to Doha, Qatar (up to 2 weeks at a time every 1-2 months). Further details regarding travel requirements will be discussed during the interview process.
Required Skills and Experience
* Previous work experience working as a quant in an energy commodity trading organisation
* Experience in modelling spot/forward price processes, building Monte Carlo simulation tools, multifactor models, gas storage models, and commodity option pricing (spread and exotic), modelling stochastic volatility and correlation in commodity prices.
* Expert-level coding skills in a language such as Python, C#, or C++
Desired Skills and Experience
* Proficiency in programming (Python, C++, etc.) and data analysis tools
* Strong understanding of financial markets, trading strategies, and risk management
* Experience with statistical modelling, machine learning, and algorithm development
* Ability to work with large datasets and perform complex quantitative analysis
* Excellent communication and teamwork skills
* Education: PhD or MS (PhD preferred) in a quantitative subject such as Physics, Mathematics, Statistics, Computer Science, Engineering, or related.
Key Role Responsibilities
* Develop and implement pricing models for complex option structures.
* Develop and implement tools for monitoring the Greeks of option positions.
* Build and refine Monte Carlo simulation tools for portfolio scenario simulation.
* Create, calibrate, and implement multifactor models for forward price simulation.
* Help build and validate gas storage model for pricing storage assets and swing structures
* Contribute to the methodology for modelling volatility and cross-commodity correlations
* Collaborate with structurers and other stakeholders to integrate models into existing trading and valuation practice.
* Continuously improve models based on feedback and performance metrics.
At Aubay UK, people are at the heart of our business. We offer a competitive remunerations package which includes a range of benefits. You will receive continuous support from our dedicated team of Talent Acquisition Specialists who will support your career development and success during your assignment with our client.
* 25 Days Annual Leave
* Work From Home Opportunities
* Pension Scheme
* Opportunities to Work Directly with our Client
* Training Opportunities
* Discount Holidays at I'Aero Chalet