Job description
Snr Desk Quant, FX Options & Hybrids (Director), London

London

-1701

Leading Global Investment Bank

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 collaborate with the Quant team on wider projects for the business/risk management.
• Understand business needs & market conventions, interact with traders and management, and initiate solutions with clear written communications.
• Perform model development with a deep understanding of arbitrage, hedging, calibration, and stochastic processes.
• Implement models in C++ and Java.
• Understand processes and workflows 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.).#J-18808-Ljbffr