Quantitative Analyst & Trader

Quantitative Analyst & Trader (NY, NY) Saba Capital Management, L.P.: Rspd to ad hoc invstr requests re: portfolio positioning & performance. Reqs Master's in Fin., Math, or rel. or equiv & 2 yrs exp dvlp'g pricing mdls for valuation of vanilla & exotic deriv. incl cliquet, rainbow, bskt, variance swaps, knock out/barrier/fwd-starting options; using stochastic & local-volatility mdls incl Heston & SABR, implemented in Python, MATLAB, & C#; mdl'g & valuating fixed-income deriv., incl intrst rate/FX swaps & swaptions, under advanced intrst rate mdl'g process & tchnqs; performing risk decomposition & P&L attribution, incl calib. & reconcil. of delta, gamma, vega, vanna, volga to spprt hedge effectiveness, attribution accuracy, & portfolio monitoring; dvlp'g quant. tools in Python & comparable lang. for attribution, strat. analysis, & trade spprt, & integrating mrkt & risk data pipelines; cnstrct'g, clbrt'g, & anlyz'g volatility surfaces, skew & swaption cubes, & eval. interpolation/extrapolation techniques across delta, maturity, & total variance, & impact on Greeks, pricing, & attribution; integrating w/ mrkt-data & pricing pltfrms incl Bloomberg & 3rd-party libraries, incl Numerix & Ito3, thru APIs to ingest data, run valuations, & persist outputs for rprt'g; util'g settlements, collat. & margin postings, & reconcil. of trade lifecycle data to ensure accuracy of risk & P&L rprt'g; & util'g Python, Matlab, C#, SQL, VBA, Git, Bloomberg, & 3rd-party pricing libraries incl Numerix. Telecommuting &/or wrk'g from home may be permissible pursuant to co. Do you have the right skills and experience for this role Read on to find out, and make your application.policies. xmcpwfu Sal Range: $175,000.00 -$180,000.00/yr. Apply to & ref job code DB9751403.