20 days ago
Quantitative Analyst and Trader
Saba Capital Management, L.P.
On Site
Full Time
$177,500
New York, NY
Job Overview
Job TitleQuantitative Analyst and Trader
Job TypeFull Time
Offered Salary$177,500
LocationNew York, NY
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Job Description
Quantitative Analyst and Trader
Saba Capital Management, L.P. seeks a Quantitative Analyst and Trader in New York, NY to respond to ad hoc investor requests regarding portfolio positioning and performance.
Responsibilities:
- Develop pricing models for vanilla and exotic derivatives including cliquet, rainbow, basket, variance swaps, knock out options, barrier options, and forward-starting options.
- Utilize stochastic and local-volatility models including Heston and SABR, implemented in Python, MATLAB, and C#.
- Model and value fixed-income derivatives, including interest rate swaps, FX swaps and swaptions, under advanced interest rate modeling processes and techniques.
- Perform risk decomposition and P&L attribution, including calibration and reconciliation of delta, gamma, vega, vanna, volga to support hedge effectiveness, attribution accuracy, and portfolio monitoring.
- Develop quantitative tools in Python and comparable languages for attribution, strategy analysis, and trade support, and integrate market and risk data pipelines.
- Construct, calibrate, and analyze volatility surfaces, skew and swaption cubes, and evaluate interpolation/extrapolation techniques across delta, maturity, and total variance, and their impact on Greeks, pricing, and attribution.
- Integrate with market-data and pricing platforms including Bloomberg and third-party libraries, including Numerix and Ito3, through APIs to ingest data, run valuations, and persist outputs for reporting.
- Utilize settlements, collateral and margin postings, and reconciliation of trade lifecycle data to ensure accuracy of risk and P&L reporting.
Key skills/competency:
- Quantitative Analyst
- Quantitative Trader
- Derivatives Pricing
- Stochastic Models
- Volatility Modeling
- Python
- MATLAB
- C#
- Risk Management
- P&L Attribution
How to Get Hired at Saba Capital Management, L.P.
- Tailor your resume: Highlight experience with derivatives pricing, stochastic models (Heston, SABR), and programming languages like Python, MATLAB, and C#. Emphasize your experience with risk decomposition and P&L attribution.
- Showcase technical skills: Prepare to discuss your proficiency with quantitative tools, data pipelines, and market data platforms such as Bloomberg.
- Demonstrate financial modeling expertise: Be ready to explain your approach to constructing and calibrating volatility surfaces and valuing fixed-income derivatives.
- Address investor requests: Highlight your ability to respond to ad hoc investor queries regarding portfolio positioning and performance with accuracy.
- Apply directly: Submit your application to hr.jobs@sabacapital.com, referencing job code DB9751403 for this Quantitative Analyst and Trader role.
Frequently Asked Questions
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01What specific types of derivatives does Saba Capital Management look for experience in for the Quantitative Analyst and Trader role?
02What programming languages and quantitative models are essential for the Quantitative Analyst and Trader role at Saba Capital Management?
03How can I best highlight my quantitative analysis and trading skills for this role at Saba Capital Management?
04What is the salary range for the Quantitative Analyst and Trader position at Saba Capital Management?
05What is the application process for the Quantitative Analyst and Trader job at Saba Capital Management?
06Does Saba Capital Management offer remote work options for the Quantitative Analyst and Trader role?
07What level of experience is required for the Quantitative Analyst and Trader position at Saba Capital Management?
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