Portfolio Pricing and Valuations Strats Analyst
The successful candidate will join the Commodities Portfolio Pricing and Valuations team to advance the firm's real-time pricing, valuations, risk and p&l infrastructure to support global commodities trading.
Principal Responsibilities- Maintain and support processes related to the production of firm-wide intraday and eod risk and p&l
- Automation and streamlining of pricing and valuations workflows
- Volatility surface modeling and options portfolio pricing
- Forward curve calibration, monitoring and controls
- Assist in the design and implementation of new pricing and marking methodologies and related data analysis
- Collaborate with Portfolio Managers, Quant Research, Risk, and various Technology and Data teams to advance the pricing and valuations framework, support new trading of derivative products and validate quant changes to pricing models
Qualifications/Skills - 2+ years of professional experience in a similar role at a Commodities trading house
- Strong math finance and coding proficiency (Python, Pandas, SQL)
- Proficiency with latest AI toolkits
- Commodities derivatives products expertise, particularly in Energy (Natgas/Power/Crude)
- Deep understanding of options models, vol surface fitting and greek p&l explain
- Detail oriented; demonstrates thoroughness and strong ownership of work
- Independent worker with a strong ability to collaborate across teams
- Able to prioritize and deliver in a fast moving, high pressure, dynamic 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 $100,000 to $200,000, 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.
