Snr Desk Quant, FX Options

3 days ago


London, United Kingdom Top-Tier Global Investment Bank Full time
Snr Desk Quant, FX Options & Hybrids (Director), London

London

Ref: FOFXQ-1701

Leading Global Investment Bank

This 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:

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

ESSENTIAL SKILLS:

  1. 6-12 years as a front office desk Quant for FX derivatives, ideally with exotics Rates derivatives and FX-IR hybrids.
  2. Expertise in exotic FX derivatives, e.g., Stoch Local Vol and non-vanilla CSA. Stochastic rates expertise is a plus.
  3. Deep financial maths: stochastic calculus, arbitrage, hedging, PDE, Monte-Carlo, numerical methods.
  4. Hands-on experience of C++/Java.
  5. Deep knowledge of FX markets and conventions, hedging practices, and calibration issues.
  6. Expert in Local Vol & LSV and calibrations.
  7. PhD in a scientific field (maths, stats, physics, comp sci, etc.).
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