Senior Quantitative Analyst



Trading


London


Permanent

Designing, delivering and integrating robust models and tools for the valuation and risk management of products of interest to the Gas & Power Trading desks

GAZPROM Germania GmbH is a subsidiary of the world’s largest natural gas producer, Gazprom. Since its establishment in 1990, GAZPROM Germania has developed into an internationally operating group of 44 companies in 15 countries in Europe and Asia. Its main business activities include the storage and trading of natural gas. It employs approximately 1,800 employees, around 200 of whom work at its Berlin headquarters. Together with its strategic partners, GAZPROM Germania Group helps ensure a reliable, environmentally-friendly, and sustainable energy supply for Europe.

Gazprom Marketing & Trading (GM&T) is an integral part of the GAZPROM Germania Group. Headquartered in London, GM&T operates to provide a global marketing reach, round the clock operational coverage and excellent customer service. Established in 1999, GM&T has grown from a single office in London into a truly global organisation, with around 1000 employees worldwide. With offices in Europe, Asia and the USA, GM&T trades energy commodities including gas, power, oil, LPG, helium, emissions, LNG and FX.

Our culture is defined by our people. Through living our values every day we continue to create a culture that enables us all to succeed. We work as one team with our customers, our parent company and each other in order to understand each other’s needs. With an unstoppable passion for excellence, growth and learning, we’re committed to creating an environment that fosters the development of knowledge, skills and experience, so that our people can thrive and prosper in their careers with us. We believe that we have the best team in the industry which makes us a trusted partner across international capital and energy markets. Our diverse employee base, with a wealth of expertise, knowledge and experience makes GM&T a truly exciting place to work. We encourage new ideas and initiatives as innovative thinking is central to how we do business. Most importantly, we are a growing and developing business where inspired individuals can make a difference and help shape our future.

Role objectives

· Designing, delivering and integrating robust models and tools for the valuation and risk management of products of interest to the Gas & Power Trading desks
· Providing quantitative support within the team and across the wider business
· Helping in the maintenance and improvement of the Quant codebase to meet the needs of the team’s technical and non-technical stakeholders

Duties & Responsibilities

· Analyse, develop, test, and document new models
· Work with the rest of the team to enhance existing models and ensure new code meets the team standards for production
· Work with the trading desk to design and deliver solutions to the problems they face
· Work with the IT department to ensure new models fit within the wider IT infrastructure
· Work with the Risk Department to understand the implications of new modelling approaches on the company’s ability to evaluate and report its risk
· Provide support to stakeholders on quantitative issues and the Quant libraries

Skills & Competencies

· Understanding of market dynamics and modelling method, and ability to apply it to real-world problems
· Knowledge of option pricing theory and stochastic calculus
· A clear appreciation of the use of quant models within a trading environment, throughout the deal lifecycle
· A deep understanding of options, their relative value, modelling as well as the discrepancy between the models and the actual market
· Strong programming skills. Experience in Python would be distinct advantage
· Ability to take ownership and delivering practical solutions to business problems
· Team player who can take advantage and contribute to the overall knowledge base of the team
· Ability to communicate complex issues in a clear, understandable manner to other business units
· Ability to work under pressure and to tight deadlines in a trading environment
· Ability to explain and defend the methodology used in the development of quantitative models and tools
· Ability to rapidly switch back and forth from working on longer term projects to helping the desks for emerging priorities
· Effective written and verbal communication skills; fluency in English (verbal and written) is essential.

Experience

· Experience with Option pricing is essential
· Experience on surface volatility modelling and/or local volatility models a plus
· Experience on Commodities a plus
· Experience programming within a team on a shared codebase, ideally in Python

Education

· Degree or equivalent in a Scientific, Computing or Engineering discipline
· Professional certifications in desired skill areas an advantage

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