Millar Associates
Job title:
Front Office FX Options Quant (VP), London
Company
Millar Associates
Job description
LondonRef: FOFXQ-2505Total up to £260k + BenefitsGlobal Investment BankFX Options: Vol knock outs, Multi-currency pairs, Barriers, & Cross Asset, LSV, C++The global Quant Research group at this top-tier Investment Bank works across London, New York, Paris and Hong Kong, developing models & methods for trading in order to price and hedge FX Options & Cross-Asset, hybrid products.In London, the team supports the local Non-linear & vanilla trading desks developing & implementing models for FX, Equity, & Commodities and now have an opening for an experienced FX Options Quant (VP or Director) with at least 5 years+ experience. Fantastic front office opportunity at a global banking group supporting a growing cross-asset trading desk.KEY RESPONSIBILITES:
- Support the FX Options & other Cross-asset trading desks
- Develop, implement models and test models developed in C++
- Assist the trading team in pricing and assessing the risk of complex transactions.
- Document and explain models to the risk for mark to market and support the model risk team in their validation process.
- Implement models into the common C++ Library, FO booking system
- Support pricing tools and the risk management system from a quantitative point of view.
SKILLS AND EXPERIENCE:
- Minimum 5 years’ as a Quant in FX Options such as, e.g, Vol knock outs, multi-currency pairs, Barriers, etc., and/or experience gained in Equity, Commodities
- Minimum of 5 years’ as a Quant in FX Options market or other, e.g. Equity, Commodities
- Strong C++ and good experience of a managed Pricing library
- Expert in Local Vol & LSV and calibrations
- Strong communication and interpersonal skills
- Master Degree or PhD in Maths, Engineering, Physics, etc.
Expected salary
Location
London
Job date
Fri, 03 May 2024 03:52:30 GMT
To help us track our recruitment effort, please indicate in your email/cover letter where (globalvacancies.org) you saw this job posting.