My client is a global, tier-1 investment bank, with a leading FX business. They are hiring for an FX (options) Quantitative Analyst, bringing your skills in mathematics, modelling, problem solving and programming to their FX Options Quant team.
An FX options quantitative analyst works to deliver a pricing and risk management library to the FX options desk. This is a wide ranging role that can touch on many parts of their organization, from maintaining and developing complex options pricing models, to collaborating with our partners in control functions and technology to support the cross-asset regulatory frameworks, to directly working with the trading desk and structuring to develop new pricing and risk management tools.
What you will do
- You will work in close collaboration with trading, structuring, sales, and technology to develop novel solutions for the business.
- Create, implement, and support quantitative models for the trading business using a wide variety of mathematical and computer science methods and tools including hardware acceleration, C++, and Python.
- Develop FX options analytics libraries used for pricing and risk-management.
- You will support the development for various cross-asset regulatory framework across the client.
- Work in partnership with control functions to ensure appropriate governance and control infrastructure.
What we will need from you
- Excellent mathematical and financial modelling skills.
- Strong programming skills in C++.
- Experience in comparable quantitative modelling or analytics role in financial sector. Experience in FX options is valuable but not necessary.
- Knowledge of financial products and numerical methods such as PDEs (partial differential equations) and Montecarlo.
- MSc or PhD degree in a quantitative subject.