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!

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.