Vice President/Director Commodities Quantitative Modeller jobs in United States
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Selby Jennings ยท 1 day ago

Vice President/Director Commodities Quantitative Modeller

positionNew York, NY
timeFull-time
remoteOnsite
seniorityLead/Staff
money$350K/yr - $450K/yr

Selby Jennings is working with a tier one investment bank seeking a highly skilled Quantitative Modeler to join their Commodities team. This role focuses on designing, implementing, and maintaining advanced derivative pricing models and volatility modeling tools for a global commodities trading business.

BankingEmploymentRecruiting
Hiring Manager
Erin McDonald
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Responsibilities

Build and implement pricing frameworks for commodities derivatives, ensuring accuracy and scalability
Develop models for volatility surfaces, vol-of-vol term structures, and correlation dynamics to support trading and risk
Engineer high-performance analytics platforms in C++ and Python, integrating tools for XVA calculations, exotic hedging, and structured products
Partner with traders and risk teams to deliver actionable insights and optimize vol trading strategies
Apply advanced methods like Monte Carlo simulations, PDE solvers, and Cheyette modeling for term structure and risk management
Contribute to the modernization of the analytics stack and ensure robust governance through clear documentation

Qualification

Volatility modelingC++ programmingPython programmingDerivatives pricingMonte Carlo methodsXVA analyticsProblem-solvingClear communication

Required

Advanced degree (MS/PhD) in Mathematics, Physics or a related quantitative field
Deep understanding of derivatives pricing and volatility modeling. Commodities preferred, but FX/equities is also welcome
Proficient programming skills in C++ and Python
Familiarity with structured development practices (source control, CI/CD, testing frameworks)
Hands-on experience with Monte Carlo methods, PDE solvers, Cheyette modeling, and volatility calibration techniques
Knowledge of XVA analytics, exotic hedging tools, and risk management frameworks
Excellent problem-solving ability and clear communication skills

Preferred

Prior experience with hedging tools for exotic commodities derivatives, VIX-related products, and XVA analytics
Exposure to commodities markets (energy, metals, ags, gas, power) and products like VIX is preferred but not required

Company

Selby Jennings

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Glassdoor3.4
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Global recruitment firm specialising in Banking
dateFounded in 2004
location
New York, New York, USA
people-size1001-5000 employees
web-link
http://www.selbyjennings.com/

Funding

Current Stage
Late Stage

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