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| Pricing Basket Options With Skew |
| Dong Qu |
2309 Views |
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Equity basket options have long been important
tools in structuring financial products. They are widely used in portfolio
management and as retail products as they are typically more
cost-effective than multiple single underlying options. The components in
a basket can be single stocks (names), equity indices or funds.
Historically, managing basket option books has proved to be problematic
and rather difficult for many banks.
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| Advertise your event here |
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| Head of Quantitative Analysis, BetOnMarkets.com |
Head of Quantitative Analysis, BetOnMarkets.com
The area: Quantitative Analysis
The BetOnMarkets Quantitative Analysis department is responsible for pricing the fixed-odds bets offered on the Betonmarkets.com website, risk management, and for the market studies that underlie our pricing models. The BetOnMarkets.com website offers exotic binary options ranging from time horizons of a few minutes to one year, and with tens of thousands of bets transacted per day, the Company manages a book of exotic options which far exceeds in complexity that of the typical derivatives desk. Our Quantitative Analysis department offers a unique challenge for talented individuals to test the latest derivatives pricing models.
The role: Head of Quantitative Analysis
As the leader of our Quant department, you will be immersed in the complexity of managing and pricing a complex derivatives portfolio arising from a large volume of individual betting transactions. The unique challenges of real-time and automated dealing in binary options will test you and your team's ability to model the structure of the markets from intra-day micro-structure up to monthly and yearly time horizons. You and your team will develop code to study the market structure, test pricing models and algorithms, optimize existing code and routines, interface to financial data feeds and systems, and collaborate with our Product Management department in the development of new bet types and markets.
The BetOnMarkets Quant team is comprised of 5 persons, split across two locations (London and Malaysia). As leader of our Quant department, you be a member of the Company's management team and will participate in the formation and execution of the Company's overall strategy.
Team Responsibilities:
Develop derivatives pricing and risk management models and algorithms in Perl, C/C++, R and VBA.
Review, develop and improve Perl, C++ and R codes used in option pricing and volatility forecasts.
Engage in data mining using SQL databases, R/S-Plus, Excel and other tools.
Generate periodic and special reports and analyze Client trading activities.
Perl, C/C++, and R programming.
Requirements:
· Strong management knowledge and over 5 years experience in managing a Quant or IT team.
· Strong knowledge in quantitative analysis of the financial markets, notably the pricing of exotic options, volatility forecasts, high-frequency trading and market inefficiencies.
· Strong knowledge in probability theory and stochastic analysis.
· Strong knowledge of programming languages such as Perl and C/C++/Java.
· Skill in the application and use of R/S-Plus or other statistical analysis tools.
· The discipline required to program in a large code base.
· Excellent spoken and written English language skills.
· Strong analytical and problem solving skills.
· The ability to work independently whilst contributing actively to the management team of the Company.
Location
This position will be located at the Company's offices in Cyberjaya, Malaysia and provides the advantages of a low cost of living combined with an excellent quality of life.
The Company: Regent Markets Group
The Regent Markets Group of companies operates the award-winning Betonmarkets.com fixed-odds financial betting website. Regent Markets is a multinational company, employing 44 persons worldwide in 5 countries, representing 13 nationalities.
History of the Group
Regent Markets Group was founded in 1999 as an affiliate of Regent Pacific Group Ltd., a company listed on the Hong Kong Stock Exchange. The Company's subsidiaries obtained bookmakers licenses in Malta in 2000 and the Isle of Man in 2003. In 2004, the Company set up a shared services center in Cyberjaya, Malaysia. The Company recently celebrated it's 10th anniversary, cementing the Company's position as the leading fixed-odds financial betting firm.
The Website: BetOnMarkets.com
BetOnMarkets is the leading financial betting service. BetOnMarkets allows anyone to place bets on over 100 currencies, indexes, commodities and stocks, from as little as $1 to as much as $25,000 per bet, and BetOnMarkets has bets for all market conditions and investment objectives.
BetOnMarkets has over ten years of operating experience, serves over 100,000 customers from over 100 countries, and is fully licensed and regulated in Malta and the Isle of Man.
Core Values
Regent Markets operates under a set of core values which guide the Company and its staff in their day to day work. These values are:
· Integrity (our leading core value) – we strive for integrity, honesty, and fairness in our daily interactions with Clients, employees, shareholders, suppliers, and business partners.
· Technology – we believe in the importance of technology to the growth of our business. We believe in particular in open-source technologies based on the Linux platform.
· Equal Opportunity – we are a merit-based organization, giving equal opportunity to persons of all sex, nationalities, races or religions. This is evident in the 13 nationalities represented amongst our staff count.
· Financial Prudence – we believe in sound financial management of our operations and prudent cost control.
· Profitability – we place importance on the profitability of our operations, so as to secure the interests of our employees, shareholders, Clients, and other stakeholders.
Recruitment Process
Regent Markets undertakes a comprehensive recruitment process designed to select the most talented candidates for any given position, and seeking to ensure alignment and fit for both parties.
To apply for the position, please send an email to headquant@betonmarkets.sendfree.com in order to receive the recruitment test for the position.
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