Long-dated FX
3 days ago
Location: London
Ref: LDFX-2002
Company: Leading Global Investment Bank
Focus Areas: FX 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, 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 the next generation of tools.
ESSENTIAL SKILLS:
- Minimum of 6 years in a Front Office 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:
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