VP Equity Derivatives Pricing

  • Competitive Base & Bonus
  • New York, NY, USA
  • Permanent, Full time
  • Ashton Lane Group
  • 21 Aug 17

Provide independent pricing & valuations coverage within a Global Investment Bank

Responsibilities:

  • Execution of Independent Price Verification processes with focus on Equity Derivative (Delta one, Illiquid methodologies, Correlation, CBs)
  • Lead projects, implementing new processes, re-engineering and industrializing current processes.
  • Ensure methodology documentation on the parameter review processes are up to date and signed off by management.
  • Propose innovative enhancements to valuation methodologies through consultation with and validation from local and global Risk and Financial Control groups.
  • Effectively manage relationships with Front Office Trading, Research and Quant teams
  • Actively explore and identify potential synergies and opportunities for improvements across business Lines (Fixed Income, GECD, and Asset/Liability Management Treasury).
  • Contribute to the maintenance of the market data matrix to ensure accuracy of all parameters used in the Official P&L
  • Provide presentations to Trading, Middle Office on methodologies and IPV processes.

Requirements:

  • 5+ years’ experience in derivatives control and pricing analysis within an investment bank
  • Strong Knowledge of either Equity or Commodity instruments
  • Knowledge and understanding of options basics (Pricing/Models, Greeks, P&L effects)
  • Excellent IT skills (mainly VBA, Python). Quick to assimilate new technology/systems and adapt into processes.
  • Strong communication and interpersonal skills.
  • Masters degree in a quantitative discipline preferred. 

For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com

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