Front Office FX Options Quant

2 weeks ago


London, United Kingdom Top-Tier Global Investment Bank Full time €2,505
Front Office FX Options Quant (VP), London

London

Ref: FOFXQ-2505

Total up to £250k + Benefits

Global Investment Bank

The global Quant Research group at this top-tier Investment Bank works across London, New York, Paris and Hong Kong, developing models & methods for trading in order to price and hedge derivatives & hybrid products.

In London, the team supports the local Non-linear & vanilla trading desks developing & implementing models for FX, Equity, & Commodities and now have an opening for an experienced FX Options Quant (VP or Director) with at least 5 years+ experience.

KEY RESPONSIBILITES:

  • Support the FX Options & other Cross-asset trading desks
  • Develop, implement models and test models developed in C++
  • Assist the trading team in pricing and assessing the risk of complex transactions.
  • Document and explain models to the risk for mark to market and support the model risk team in their validation process.
  • Implement models into the common C++ Library, FO booking system
  • Support pricing tools and the risk management system from a quantitative point of view.

SKILLS AND EXPERIENCE:

  • Minimum of 5 years' as a Quant in FX Options market or other, e.g. Equity, Commodities
  • Strong C++ and good experience of a managed Pricing library
  • Strong communication and interpersonal skills
  • Master Degree or PhD in Maths, Engineering, Physics, etc. #J-18808-Ljbffr]]>


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