Job description
We value our people and encourage everyone to grow professionally. If you think this opportunity is right for you, we encourage you to apply! Job Description: Roles & Responsibilities Options Market Making, Calibration & Smile Modeling Develop and own the quantitative infrastructure for quoting and risk managing vanilla and exotic options, including: Real-time volatility surfaces Greeks engines Market-making and execution algorithms Lead implementation of arbitrage-free volatility smile and skew models , including: Smile parameterisation techniques : e.
g. SVI, SABR, and Fengler’s arbitrage-free smoothing approaches Local volatility models : Dupire local volatility for smile-consistent pricing and delta-hedging Mixed local/stochastic volatility models : for capturing dynamic skew behaviour under stressed conditions Build robust model calibration pipelines to liquid market instruments (e.
g. vanilla options, forwards, futures) ensuring: Fast convergence Numerical stability No calendar, butterfly, or vertical spread arbitrage Extend volatility modelling to handle long-dated exotic derivatives : American barriers, Asian accumulators, spread options, TARFs Currency-denominated option structures with quanto and correlation features Term Structure & Correlation Modelling Develop multi-factor forward curve models for commodities and currencies: Gabillon Two-Factor Model for capturing commodity forward curve dynamics Schwartz-Smith or CIR++ extensions for interest rate and inflation-linked exposure Model and estimate cross-asset correlations , particularly between: Commodities (oil, palm, soy, energy, etc.)
Currencies (USD, CNY, MYR, INR, etc.) Freight and storage costs Integrate correlation modeling into: Structured products Portfolio VaR / CVaR frameworks Basis risk hedging strategies Real Assets & Physical Optionality Build stochastic optimization and valuation frameworks for: Crushing/refining spreads (e.g. soybean crush, palm kernel crush) Storage and logistics assets as American swing options Real-time asset monetization tools using Monte Carlo simulation, real options valuation, and basis path modeling Incorporate physical constraints (capacity, delivery time, transport) into derivatives-driven optimization Ideal Candidate PhD or Master’s in a quantitative field (Mathematics, Financial Engineering, Physics, Computer Science) Background in commodities markets (energy, agri , metals) Experience building physical-real optionality models Exposure to algorithmic quoting engines and real-time market data feeds Understanding of machine learning techniques for market regime switching or signal generation 10+ years of experience in: Quantitative research for derivatives trading or market making Building volatility surfaces , smile models , and calibration tools Exotic option pricing in commodity, currency, or hybrid markets To apply, please submit your resume and cover letter outlining your interest for this role.