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      Quantitative Analyst, DESIM

      D. E. Shaw & Co., L.P.New York, NY

      OnsiteHealth InsuranceRetirement Benefit

      573 Data Analyst jobs in Elizabeth, NJ

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      Quantitative Analyst & Trader

      Saba Capital Management, L.P.

      New York, NY 10060

      $180,000/yr
      OnsiteUrgently Hiring

      • Developing quantitative tools in Python and comparable languages for attribution, strategy analysis, and trade support, and integrating market and risk data pipelines
      • Constructing, calibrating, and analyzing volatility surfaces, skew and swaption cubes, and evaluating interpolation/extrapolation techniques across delta, maturity, and total variance, and their impact on Greeks, pricing, and attribution
      • Experience implemented in Python, MATLAB, and C#
      • Utilizing settlements, collateral and margin postings, and reconciliation of trade lifecycle data to ensure accuracy of risk and P&L reporting
      • Integrating with market-data and pricing platforms including Bloomberg and third-party libraries, including Numerix and Ito3, through APIs to ingest data, run valuations, and persist outputs for reporting
      • Two (2) years of experience developing pricing models for the valuation of vanilla and exotic derivatives including cliquet, rainbow, basket, variance swaps, knock out options, barrier options, and forward-starting options
      • Performing risk decomposition and P&L attribution, including calibration and reconciliation of delta, gamma, vega, vanna, volga to support hedge effectiveness, attribution accuracy, and portfolio monitoring
      • Utilizing Python, Matlab, C#, SQL, VBA, Git, Bloomberg, and third-party pricing libraries including Numerix
      • Modeling and valuating fixed-income derivatives, including interest rate swaps, FX swaps and swaptions, under advanced interest rate modeling process and techniques
      • Master's degree in Finance, Mathematics, or related or equivalent
      • Experience using stochastic and local-volatility models including Heston and SABR
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