Quantitative Analyst & 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. Requires a Master’s degree in Finance, Mathematics, or related or equivalent and two (2) years of experience developing pricing models for the valuation of vanilla and exotic derivatives including cliquet, rainbow, basket, variance swaps, knock out options, barrier options, and forward-starting options; using stochastic and local-volatility models including Heston and SABR, implemented in Python, MATLAB, and C#; modeling and valuating fixed-income derivatives, including interest rate swaps, FX swaps and swaptions, under advanced interest rate modeling process and techniques; performing 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; developing quantitative tools in Python and comparable languages for attribution, strategy analysis, and trade support, and integrating market and risk data pipelines; constructing, calibrating, and analyzing volatility surfaces, skew and swaption cubes, and evaluating interpolation/extrapolation techniques across delta, maturity, and total variance, and their impact on Greeks, pricing, and attribution; integrating 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; utilizing settlements, collateral and margin postings, and reconciliation of trade lifecycle data to ensure accuracy of risk and P&L reporting; and utilizing Python, Matlab, C#, SQL, VBA, Git, Bloomberg, and third-party pricing libraries including Numerix. Telecommuting and/or working from home may be permissible pursuant to company policies. Salary Range: $175,000.00 – $180,000.00/year. Apply directly to hr.jobs@sabacapital.com & reference job code DB9751403.