Long-dated FX & Hybrids Quant (VP, Dir), London

Job title:

Long-dated FX & Hybrids Quant (VP, Dir), London

Company

Millar Associates

Job description

LondonRef: LDFX-2002£££ Excellent + Bonus + BenefitsLeading Global Investment BankFX Hybrids, PRDCs, RFR cap/floors, Baskets, Equity, C++, C#This global investment bank, seeks to hire a VP Quant Analyst to join a small Front Office team supporting exotic FX & Rates trading (with some Equity). You will be involved in multi-asset modelling & pricing of Exotic Derivatives and Hybrids and building Front Office tools & applications and developing the quant model library in C++ & C#. This is a great opportunity to work with some of the best quants in the industry and be directly involved with the business.KEY RESPONSIBILITIES:

• Engineer the improvement, extension and testing of the models and pricing & risks engines, with a particular focus on FX & Equity asset classes.
• Implement valuation models, tools & pricers into the quant library, including structured FX/IR, FX/Equity models and tool development
• Provide support to the trading desk and risk management
• Improve the client tools and be involved in next generation of tools

ESSENTIAL SKILLS:

• Minimum of 6 years, in a FO quant role, with a strong focus on FX (Any FX/Equity Hybrids an advantage)
• Experience around quantitative challenges raised by Benchmark reform, e.g. RFR cap/floor pricing or CMS Fallback.
• Advanced development skills (C++ or C#) from implementation and support of models
• Experience in developing at least one product or model from scratch for production use.
• Experience in calibration of Stochastic & Local Volatility, or advanced structured IR model desirable
• PhD or Masters educated in a scientific field

DESIRABLE:

• Long-term FX Products, PRDCs, FX Choosers, Baskets, Dupire, Autocallables

Expected salary

Location

London

Job date

Sat, 04 May 2024 01:20:18 GMT

To help us track our recruitment effort, please indicate in your email/cover letter where (globalvacancies.org) you saw this job posting.