Long-dated FX

5 days ago


London, United Kingdom Top-Tier Global Investment Bank Full time
Long-dated FX & Hybrids Quant (VP, Dir), London

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:

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

ESSENTIAL SKILLS:

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

DESIRABLE:

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