Front Office Quant, FX Options

3 weeks ago


London, United Kingdom Millar Associates Full time

Job Description

Leading Global Investment Bank

FX Options, FX-IR Hybrids, Forwards, Swaps, Stoch Vol, C++, Java

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:

  • 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.)
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