Vice President​/Director Commodities Quantitative Modeller - Selby Jennings

Overview

We are currently working with a new lead at a tier one investment bank who is seeking a highly skilled Quantitative Modeler to join their Commodities team, supporting the precious metals desk. This role focuses on designing, implementing, and maintaining advanced derivative pricing models and volatility modeling tools that power a global commodities trading business. This new lead was brought in specifically to build out the commodities business and is seeking candidates to make an impact from day one.

• Build and implement pricing frameworks for commodities derivatives, ensuring accuracy and scalability.
• Develop models for volatility surfaces, vol-of-vol term structures, and correlation dynamics to support trading and risk.
• Engineer high-performance analytics platforms in C++ and Python, integrating tools for XVA calculations, exotic hedging, and structured products.
• Partner with traders and risk teams to deliver actionable insights and optimize vol trading strategies.
• Apply advanced methods like Monte Carlo simulations, PDE solvers, and Cheyette modeling for term structure and risk management.
• Contribute to the modernization of the analytics stack and ensure robust governance through clear documentation.

• Advanced degree (MS/PhD) in Mathematics, Physics or a related quantitative field.
• Deep understanding of derivatives pricing and volatility modeling. Commodities preferred, but FX/equities is also welcome.
• Proficient programming skills in C++ and Python.
• Familiarity with structured development practices (source control, CI/CD, testing frameworks).
• Hands-on experience with Monte Carlo methods, PDE solvers, Cheyette modeling, and volatility calibration techniques.
• Exposure to commodities markets (energy, metals, ags, gas, power) and products like VIX is preferred but not required.
• Knowledge of XVA analytics, exotic hedging tools, and risk management frameworks.
• Excellent problem-solving ability and clear communication skills.