Senior Quant Modeller - Commodities (h/f)

£850-£900pd Inside IR35

12 month initial contract

5 days on site in London

emagine is a high-end professional services consultancy and solutions firm specialising in providing business and technology services to the financial services sector. We power progress, solve challenges, and deliver real results through tailored high-end consulting services and solutions.

We have created a culture of openness and integrity by building genuine and strong relationships and partnerships, enabling us to be uncompromising in our dedication to delivering the optimal service for our clients. Our commitment is not just towards our clients - we aim to foster a positive and equitable working environment with our consultants and colleagues, which stems from our core values: Confident, Dedicated, Responsible, Genuine.

We are seeking a Senior Quantitative Modeller with deep expertise in C++ development and commodities derivatives to join a growing quantitative function. This role is pivotal in strengthening model validation capabilities as the business expands its OTC derivatives offering and broadens into more complex commodity products.

The ideal consultant will bring hands-on C++ pricing model development experience, combined with strong commodities product knowledge, particularly across power and emissions markets. This is a highly technical, Front Office-aligned role with direct interaction across trading, risk, and technology teams.

Key Responsibilities

• Lead independent model validation across a broad suite of commodity derivatives

• Design, develop, and enhance pricing and risk models in C++ (core requirement), with supporting work in Python where needed

• Validate and implement models for:

  • Swaps

  • Futures

  • Options

  • Exotic structures (Asians, averaging products, structured payoffs)

• Build robust pricing frameworks using market data inputs (curves, vol surfaces, correlations)

• Partner with Front Office trading desks to ensure models are fit-for-purpose and aligned with live trading needs

• Support expansion into OTC derivatives and more complex structured products

• Contribute to the onboarding and validation of new asset classes and instruments

• Ensure production-quality code standards, including documentation, testing, and integration into existing systems

• Enhance model transparency and robustness to support internal stakeholders and client-facing initiatives

Key RequirementsTechnical (Core Focus)

• Strong C++ development skills with proven experience building pricing libraries and quantitative models

• Experience delivering production-grade code within a trading or risk environment

• Working knowledge of Python (secondary) for analytics, prototyping, or validation support

• Solid understanding of numerical methods relevant to derivatives pricing (eg Monte Carlo, PDEs, finite differences)

Product & Quant Expertise (Essential)

• Deep understanding of commodities derivatives, particularly:

  • Power markets

  • Emissions/carbon products

• Strong product knowledge across:

  • Swaps

  • Futures

  • Options

  • Exotic/structured products (Asians, averaging, path-dependent instruments)

• Proven experience in model validation, including benchmarking, stress testing, and model risk assessment

• Hands-on experience working with market data to build pricing models (not purely statistical/predictive modelling

• Background working in a Front Office or trading desk-aligned environment (bank, hedge fund, trading house, or market maker)

• Direct experience interacting with traders and risk teams

• Familiarity with live trading systems and risk platforms

• Experience working within and extending existing quant/technology stacks

Ideal Profile

• A C++-first quant with strong engineering discipline and attention to performance

• Deeply knowledgeable in commodities markets and derivatives pricing mechanics

• Comfortable operating in a Front Office, fast-paced trading environment

• Strong communicator able to bridge quant, trading, and technology teams

• Experience supporting OTC product expansion and model governance frameworks

Interested?

At emagine, we are committed to building an international and diverse team by embracing our different backgrounds.

If you are up to the challenge and would like to find out more, get in touch with us immediately, our internal recruitment team is always keen to hear from dynamic individuals that are looking to further their career and explore their full potential.

emagine is an equal opportunity employer, and employment practices are based strictly on merit. It is the policy of the Company to give equal opportunity in employment regardless of sex, sexual orientation, marital status, race, age, disability, gender reassignment, pregnancy and maternity, religion or ethnic origin