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.

policies. Sal Range: $175,000.00 -

$180,000.00/yr. Apply to hr.jobs@sabacapital.com & ref job code DB9751403.