2 Derivatives Modeling Jobs

Quantitative strategists are at the cutting edge of our business, solving real-world problems through a variety of analytical methods. Working in close collaboration with traders and salespeople, our invaluable quantitative perspectives on complex financial and technical challenges power the business decisions. Within SPG, our team is responsible for utilizing modern and sophisticated quantitative techniques to enhance and further develop our Equities financing and One Delta trading capabilities. This includes traditional derivatives pricing and modelling, as well as automation of our quoting, hedging and risk management activities. YOUR IMPACT You'll be part of a diverse and talented team, applying your advanced scientific training to tackle new and exciting problems within ourSynthetic trading business. Role Responsibilities: Develop and maintain derivatives pricing modelsfor SPG, such as Equity Swaps, Futures, OTC equity derivatives etc. Scale the business by increasing automated risk management for exposures to Equity, FX etc. Expand the scope of our pricing capabilities to new underliers/payoffs, solving idiosyncratic challenges along the way. Enhance risk management by backtesting hedging strategies for One Delta products. Collaborate closely withthe trading team to ensure daily accurate risk management. Who We Look For: An ideal candidate would have strong quantitative and technical problem solving skills, drive to investigate and learn new ideas, and good judgement to deliver quick yet robust solutions. Basic Qualifications: Strong academic background in a relevant STEM field (Computer Science, Engineering, Physics or Mathematics) Strong quantitative and programming skills (Java, C++, Python) Strong interpersonal/communication skills Ability to focus both on details and on the big picture Ability to work in a dynamic and fast- paced environment and deliver accurate results quickly Ability to solve problems and to explain underlying ideas Preferred Qualifications: Knowledge and understanding of financial markets, financial modeling, a quantitative understanding of probability

MORE ABOUT THIS JOB Please note division and function examples are representative of opportunities common for this skill-set. The list is not exhaustive, and availability of open roles is determined based on business need. Specific roles will be confirmed through the interview process. At Goldman Sachs, our Engineers don't just make things we make things possible. Change the world by connecting people and capital with ideas. Solve the most challenging and pressing engineering problems for our clients. Join our engineering teams that build massively scalable software and systems, architect low latency infrastructure solutions, proactively guard against cyber threats, and leverage machine learning alongside financial engineering to continuously turn data into action. Create new businesses, transform finance, and explore a world of opportunity at the speed of markets. Engineering, which is comprised of our Technology Division and global strategists groups, is at the critical center of our business, and our dynamic environment requires innovative strategic thinking and immediate, real solutions. Want to push the limit of digital possibilities Start here. Who We Look For Goldman Sachs Engineers are innovators and problem-solvers, building solutions in risk management, big data, mobile and more. We look for creative collaborators who evolve, adapt to change and thrive in a fast-paced global environment. Goldman Sachs Strats business unit is a world leader in developing quantitative and technological techniques to solve complex business problems. Working within the firm's trading, sales, banking and investment management divisions, strats use their mathematical and scientific training to create financial products, advise clients on transactions, measure risk, and identify market opportunities. Roles within Securities StratsSecurities Strats play important roles in several areas. Some Strats sit on trading desks, creating cutting-edge derivative pricing models and developing empirical models to provide insight into market behavior. Others develop automated trading algorithms for the firm and its clients, taking an active part in the increasing shift from voice to electronic trading. A third group works directly with the firm's sales force and clients, analyzing exposures, structuring transactions, and applying quantitative concepts to meet client needs. Desk strats are the ones responsible for creating and enhancing the derivative pricing models and enhance new payoffs. Asia macro strats specifically look at Rates, FX and Credit based models for trading teams throughout Asia. RESPONSIBILITIES AND QUALIFICATIONS YOUR IMPACT Are you passionate about derivatives modelling and using sophisticated pricing techniques Do you want to drive the creation of the next generation of pricing and structuring tools We are looking for a modelling and expert to join our Asia Macro Strats team and help us change the way financial products are structured, priced and risk managed at Goldman Sachs. OUR IMPACT The core value of the Securities Division is building strong relationships with our institutional clients, which include corporations, financial service providers, and fund managers. We help them buy and sell financial products on exchanges around the world, raise funding, and manage risk. This is a dynamic, entrepreneurial team with a passion for the markets, with individuals who thrive in fast-paced, changing environments and are energized by a bustling trading floor. The Macro strats team oversees the creation and development of the Securities Division quantitative platform, building the key models and components to evaluate the prices of financial products. We develop these to best capture market dynamics, accurately and efficiently, whilst making them directly available to our business users, enabling us to partner with them to quickly respond to client needs. HOW YOU WILL FULFILL YOUR POTENTIAL Creating new models and more efficient numerical methods to evaluate them. Partner with structurers, traders and other engineers to develop new financial products, and build the frameworks to do that efficiently Develop computational tools for extreme clarity and compute efficiency, for pricing speed, compute cost and safe maintenance SKILLS & EXPERIENCE WE'RE LOOKING FOR BASIC QUALIFICATIONS Bachelors, Masters, or PhD in Mathematics, Physics, Computer Science, Engineering or similar subject. Strong quantitative skills, preferably experience in derivatives modelling. Strong programming skills, including clear understanding of algorithms and data structures. Knowledge of high-performance numerical methods. Strong interpersonal, communication and presentation skills, both written and verbal. Comfortable managing multiple stakeholders, driving consensus and influencing outcomes. PREFERRED QUALIFICATIONS Experience building multi-asset models used for derivatives pricing Experience building tools and payoff languages used by traders and structurers. Experience creating and using Domain Specific Languages, and Functional programming. Experience with the Python, C++ and/or JVM ecosystem.