Senior Quantitative Analyst Energy Market Ph.D.

Aufgaben

• Further development of valuation models for structured contracts for power and gas, including swing options
• Design and modelling of stochastic models for price modelling, including calibration using market and fundamental data
• Use of algorithms for stochastic dynamic programming for decision‑making under uncertainty, as well as the Least Squares Monte Carlo (LSMC) simulation method to solve optimal stochastic control problems
• Responsible for measuring risks and determining risk metrics and sensitivities for energy trading and risk management
• Validation of models using historical market and operational data and backtesting
• Optimisation of programming code to improve scalability and computational performance
• Close collaboration with Legal, Front Office and Risk Management

Qualifikation

• PhD in Mathematics...