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Quantitative Strategist

2019.03.08

 

Employer:        Mercuria Energy Trading Inc.

Position:          Quantitative Strategist

Location:         20 E Greenway Plaza - Suite 650, Houston, TX 77046

Duties:

  • Research and implement financial models for product valuation, risk analysis and trading, utilizing knowledge/understanding of US power and gas markets, main financial engineering models, including Black Scholes option pricing, spread options pricing (Kirk and Bachelier models), multifactor volatility models (Gabillon, Gnf), constrained tolling models, load serving deal pricing, storage optimization and Monte Carlo techniques.

 

  • Work closely with originators and traders to price and structure options, load deals, tolling agreements, gas transportation and storage deals and other physical/financial complex structured products across power and gas.

 

  • Provide quantitative expertise at each stage of deal pricing and negotiation, including pricing complex payoffs, calculating and highlighting commodity price risk, interest rate and FX risk, credit exposures and financing costs.

 

  • Provide data analysis tools to calibrate model parameters like spread volatilities and correlations.

 

  • Extend and evolve the quantitative models library.

 

Requirements:

Master’s degree (or foreign equivalent) in Financial Engineering, Finance, Economics or related field, plus three years of experience reflecting ability in the skill set described above.

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