Senior Quantitative Analyst

Senior Quantitative Analyst

Alpiq Group

Lausanne or Olten, Switzerland

Your accountabilities

• Develop and enhance advanced optimization and valuation models for physical assets (e.g., CCGTs, coal plants) and structured energy products (e.g., gas storage, swing contracts).
• Implement and improve stochastic dynamic programming approaches for optimal dispatch and valuation (e.g., Least Squares Monte Carlo for flexible assets).
• Calibrate models using market and fundamental data.
• Generate risk metrics and sensitivities to support Trading and Risk functions
• Back-test models using historical market and operational data.
• Design and implement stochastic models for power and gas prices.
• Improve scalability and numerical performance of valuation frameworks (e.g., parallelization, vectorization, efficient numerical methods).
• Collaborate closely with Structuring, Trading, Risk, and other stakeholders to translate market dynamics into quantitative solutions.

Your profile

• University degree (preferably PhD) in Mathematics, Physics, Electrical Engineering, or a related quantitative field.
• Relevant experience in power and/or gas markets, with understanding of physical asset behaviour (flexible depending on seniority level).
• Strong background in deterministic and stochastic modelling, optimization, and Monte Carlo simulation methods (experience with LSMC is a plus).
• Knowledge of financial derivatives and structured products.
• Strong programming skills in Python, plus at least one additional language (e.g., C#, F#, C++, Java, Scala).
• Strong communication skills and ability to collaborate effectively with front office and cross-functional teams.
• Fluent in English; additional languages are a plus.
• Willingness to relocate to Lausanne or Olten, Switzerland.