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Analyzing and summarizing academic papers and replicating results
Communicating math and finance concepts to a broad audience in written and presentation format
Data analysis methods
Three (3) years of work experience with computer programming in Python
Scientific analysis of financial data and interpreting results
Performance attribution analyses, including Brinson, factor, principal components, and time series analysis
Bachelor's degree in Mathematics, Computer Science, Physics, Engineering (any), or a related quantitative field of study

Capital One

New York, NY 10025

Saba Capital Management, L.P.

New York, NY 10060

Util'g settlements, collat. & margin postings, & reconcil. of trade lifecycle data to ensure accuracy of risk & P&L; rprt'g
Implemented in Python, MATLAB, & C#
Using stochastic & local-volatility mdls incl Heston & SABR
Integrating w/ mrkt-data & pricing pltfrms incl Bloomberg & 3rd-party libraries, incl Numerix & Ito3, thru APIs to ingest data, run valuations, & persist outputs for rprt'g
Telecommuting &/or wrk'g from home may be permissible pursuant to co. policies
Master's in Fin., Math, or rel. or equiv
Cnstrct'g, clbrt'g, & anlyz'g volatility surfaces, skew & swaption cubes, & eval. interpolation/extrapolation techniques across delta, maturity, & total variance, & impact on Greeks, pricing, & attribution
Integrating mrkt & risk data pipelines
Util'g Python, Matlab, C#, SQL, VBA, Git, Bloomberg, & 3rd-party pricing libraries incl Numerix
Dvlp'g quant. tools in Python & comparable lang. for attribution, strat. analysis, & trade spprt
2 yrs exp dvlp'g pricing mdls for valuation of vanilla & exotic deriv. incl cliquet, rainbow, bskt, variance swaps, knock out/barrier/fwd-starting options
Mdl'g & valuating fixed-income deriv., incl intrst rate/FX swaps & swaptions, under advanced intrst rate mdl'g process & tchnqs
Performing risk decomposition & P&L attribution, incl calib. & reconcil. of delta, gamma, vega, vanna, volga to spprt hedge effectiveness, attribution accuracy, & portfolio monitoring