Derivatives Pricing Analyst Job Description Template

The derivatives pricing analyst values options and structured products and explains the risk they carry. The work spans model selection, calibration, sensitivity analysis and the daily reconciliation of theoretical values against the market. It rewards people who are careful about assumptions, because most pricing errors trace back to a model being used outside the conditions it was built for.

Typical Duties and Responsibilities

• Price derivatives and structured products across the firm’s book
• Calibrate pricing models to observable market data
• Calculate and explain the greeks and higher order sensitivities
• Reconcile model valuations against market and counterparty marks
• Support the valuation process for hard to price positions
• Analyze volatility surfaces and their dynamics
• Investigate pricing discrepancies and explain their causes
• Support the independent price verification process
• Document model assumptions, limitations and calibration approach
• Maintain and improve pricing tools and libraries

Education

• Master’s degree in financial engineering, mathematics, physics or a related field

Required Skills and Experience

• 2+ years in derivatives pricing, valuation or model validation
• Strong grounding in stochastic calculus and option pricing theory
• Experience calibrating models to market data
• Proficiency with Python and numerical methods
• Understanding of volatility surfaces and smile dynamics
• Ability to explain a valuation difference precisely
• Careful documentation for audit and governance
• Attention to market conventions and settlement detail

Preferred Qualifications

• Experience with exotic or path dependent products
• Knowledge of C++ pricing library development