Long Dated Fx Quant Analyst, Vp, London

4 weeks ago


London, United Kingdom eFinancialCareers Full time

**FX Hybrids, PRDCs, RFR cap/floors, Baskets, Equity, C++, C#**

**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 tools development
- Provide support to the trading desk and risk management
- Improve the client tools and be involved in next generation of tools

**ESSENTIAL SKILLS**:

- 5 yrs experience in a similar role
- 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**:

- Long-term FX Products, PRDCs, FX Choosers, Baskets, Dupire, Autocallables


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