Snr Desk Quant, FX Options & Hybrids (Director), London

Job title:

Snr Desk Quant, FX Options & Hybrids (Director), London

Company

Millar Associates

Job description

LondonRef: FOFXQ-1701Circa £300k + BenefitsLeading Global Investment BankFX Options, FX-IR Hybrids, Forwards, Swaps, Stoch Vol, C++, JavaThis global investment bank, seeks to hire a Snr VP or Director level Desk Quant to join a Front Office team supporting FX Options & Hybrids trading in London. You will work closely with the FX and non-USD Rates traders and the Quant team to design & implement Option pricing models, as well as their integration into Trading and Risk systems.Their FX Options & Hybrids business is fast-growing you’ll join a great Quant team with strong IT support.KEY RESPONSIBILITIES:

• Implement valuation models, tools & pricers into the quant library for FX & non-USD Rates and structured FX-IR models and tools
• Work closely with Traders on short-term projects and work with Quant team on wider projects for the business/ risk management
• Understand business needs & market conventions, interacting with traders, management, and initiate solutions with clear written communications.
• Perform model development with deep understanding of arbitrage, hedging, calibration and stochastic processes.
• Implement models in C++ and Java
• Understand processes and work flows to make recommendations for process improvements

ESSENTIAL SKILLS:

• 6-12 years’ as a front office desk Quant for FX derivatives, ideally with exotics Rates derivatives and FX-IR hybrids.
• Expertise in exotic FX derivatives, e.g. Stoch Local Vol and non-vanilla CSA. Stochastic rates expertise is a plus.
• Deep financial maths: stochastic calculus, arbitrage, hedging, PDE, Monte-Carlo, numerical methods
• Hands on experience of C++/Java.
• Deep knowledge of FX markets and conventions, hedging practices, and calibration issues
• Expert in Local Vol & LSV and calibrations
• PhD in a scientific field (maths, stats, physics, comp sci, etc.)

Expected salary

Location

London

Job date

Sat, 12 Oct 2024 02:32:28 GMT

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