Job Description
<h3>Snr Desk Quant, FX Options & Hybrids (Director), London</h3><p><strong>London</strong></p><p><strong>Ref: FOFXQ-1701</strong></p><p><strong>Leading Global Investment Bank</strong></p><p>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.</p><p>Their FX Options & Hybrids business is fast-growing you’ll join a great Quant team with strong IT support.</p><p><strong>KEY RESPONSIBILITIES:</strong></p><ul><li>Implement valuation models, tools & pricers into the quant library for FX & non-USD Rates and structured FX-IR models and tools</li><li>Work closely with Traders on short-term projects and work with Quant team on wider projects for the business/ risk management</li><li>Understand business needs & market conventions, interacting with traders, management, and initiate solutions with clear written communications.</li><li>Perform model development with deep understanding of arbitrage, hedging, calibration and stochastic processes.</li><li>Implement models in C++ and Java</li><li>Understand processes and work flows to make recommendations for process improvements</li></ul><p><strong>ESSENTIAL SKILLS</strong><strong>:</strong></p><ul><li>· 6-12 years’ as a front office desk Quant for FX derivatives, ideally with exotics Rates derivatives and FX-IR hybrids.</li><li>· Expertise in exotic FX derivatives, e.g. Stoch Local Vol and non-vanilla CSA. Stochastic rates expertise is a plus.</li><li>· Deep financial maths: stochastic calculus, arbitrage, hedging, PDE, Monte-Carlo, numerical methods</li><li>· Hands on experience of C++/Java.</li><li>· Deep knowledge of FX markets and conventions, hedging practices, and calibration issues</li><li>Expert in Local Vol & LSV and calibrations</li><li>PhD in a scientific field (maths, stats, physics, comp sci, etc.)</li></ul>