FX Options e-Trading Quant (VP), London FX Options e-Trading Quant (VP), London …

Millar Associates
in London, United Kingdom
Permanent, Full time
Last application, 15 May 21
£££ Excellent + front office bonus
Millar Associates
in London, United Kingdom
Permanent, Full time
Last application, 15 May 21
£££ Excellent + front office bonus
Posted by:
Craig Millar • Recruiter
Posted by:
Craig Millar
Recruiter
The global Quant Research group at this Tier-1 Investment Bank is seeking a talented Quantitative Analyst for the FX Options e-Trading desk to develop and implement pricing tools for their FX Options and Hybrids trading. With 2-5 years in quant finance, IT development, trading environments, this is a great opportunity to work with traders & quantitative peers in developing a range of FX Options products in a tier-1 banking group.

FX Options & Hybrids, Skew, Analytics Libraries


KEY RESPONSIBILITIES:

  • Pricing of FX Options and Hybrids positions, with emphasis on automation and industrialisation of Vol surface construction
  • Enhance pricing analytics, co-ordinate with quants & traders, improve interfaces, optimise code
  • Develop support tools for option pricing and risk for the electronic options platform
  • Build an in depth understanding of the pricing of FX options products
  • Liaise with internal functions, e.g. IT & Market Risk
  • Help the bank adapt to new regulations and capital charges by providing tools to estimate impact

ESSENTIAL SKILLS:

  • 2-5 years’ experience in quantitative finance, options, modelling techniques
  • Very strong maths and numerical techniques, e.g., linear algebra, root finding, finite differences
  • Understand the key FX Option & Hybrids risk measures and how they are computed (stoch vol correlation, etc.)
  • Previous quantitative research experience and knowledge of financial modelling techniques desired
  • Hands on (one or more) C++, Java, or C# for model implementation into analytics pricing library
  • Superb concise communication skills to speak with traders
  • PhD or Masters in maths, statistics, physics, engineering or finance
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