Bloomberg's Equity and Convertibles Quant Team is responsible for the design and implementation of analytics that support the calibration of equity implied data (forward curves, implied volatilities) and the pricing & risk of equity derivatives ranging from vanilla products and light exotics to the most sophisticated exotics including structured products and Convertible bonds. These analytics serve the entire suite of Bloomberg products and services, including its terminal with 300,000+ clients, trading system solutions, enterprise risk management, and derivatives valuation services.
The team has an open position for a derivatives quant experienced in the design and implementation of pricing libraries, data representation, building testing infrastructure for the monitoring and measurement of the model performance: stability & accuracy measures, building reports & pricing tools for internal clients, implementation of alerts framework to escalate issues in a timely manner. Typical responsibilities include:
You'll need to have:
- Design an abstract framework for the equity derivatives pricing library keeping in mind user's (quants, model validators, financial engineers, external clients, ...) needs,
- Define and implement data representation for market data and derivative instruments,
- Define synthetic performance measures to assess the quality of the models (e.g. quality of the data, quality of the calibration, convergence issues, ...),
- Be able to investigate model performance issues when they arise,
- Present the metrics in an insightful & user-friendly manner
- Collaborate with engineering to identify/agree best ways/tools to access the data
- Collaborate with quant developers to keep up to date with new developments and coordinate their integration within the equity library.
- Interact with the business & external clients to present the tools/findings
- Relevant experience (5+ years) designing pricing libraries
- Ability for abstraction and conceptualization
- Proficient with C++
- Some experience with python tools for data aggregation and visualization is a nice to have
- User experience with implied data/pricing models, understands model behaviour & able to design measures of performance
- Clear & concise communication
- Good team-player who seeks advice from colleagues and internal clients and able to navigate the organization to identify synergies and leverage the work of others.
Bloomberg is committed to diversity. It drives our innovation. At Bloomberg, you'll have the opportunity to go above and beyond and to take risks. You'll be a part of an organization that is entering new markets, launching new ventures, and pushing boundaries. Our ever-expanding array of technology, data, news, and media services fosters innovation and empowers clients -- and offers nearly limitless opportunities for career growth If this sounds like you:
Apply if you think we're a good match. We'll get in touch to let you know what the next steps are, but in the meantime feel free to have a look at the below to give you an idea of how the quant work contributes to the overall Bloomberg offering:
We are an equal opportunity employer and value diversity at our company. We do not discriminate on the basis of race, religion, colour, national origin, gender, sexual orientation, age, marital status, veteran status, or disability status.