Director - Quants, FXO Vanilla and Exotic - London

Bank of America Corporation
London, United Kingdom
02 Aug 2022
01 Sep 2022
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Role Description
  • To provide support to the members of the Global Quantitative team by conducting and completing quantitative analysis and complex modelling projects whilst having close interaction with business partners as well as with internal and external clients.
  • Assist in the design, development and implementation of front office pricing models, IT systems and/or Trading Strategies
  • Providing quantitative support to traders, researching strategies and keeping abreast of regulatory requirements
  • Assist with performance monitoring and strategy documentation and marketing
  • The QSG FX Options team works with this desk to develop pricing models for pricing and generating risk for their derivatives contracts.

The role involves:

Experience of working as a front office quant on a trading floor
  • Experience of modelling vanilla FX option (maybe Equity) volatility surfaces using stochastic and local volatility models
  • Experience of implementing volatility temporal and strike interpolation to consider the microstructure of the market
  • Experience of methods for implementing ways of managing many volatility surfaces simply using simplified representations for ease of trader use
  • Experience of writing object-oriented code in C++ with preferrable experience of using Python
  • Experience of exotic models and implementing payoffs in those models
  • Example projects: Defining cross volatility surfaces through correlation and model parameters Extending the volatility surface model to calibrate to 5 strikes Add stochastic interest rates and gain model approval for stochastic IR + FX model for GFX & LCT products

The Team

Works closely together as part of a global FXO QSDG with most of the team in London and the remainder in New York. The team is:
  • Small and friendly often socialising over coffee and lunch.
  • Discusses projects openly and shares ideas
  • Works closely with the trading desk on business focussed projects.
  • The wider FX team arrange "teach ins" to keep the team informed and up-to-date with the latest quant developments
  • The team is established and have helped the FX Options desk grow their business by implementing new.

Core skills - Required and Preferred
  • Excellent analytical, quantitative and problem solving skills are required
  • Extensive programming skills in C++, Python, Java
  • Meticulous attention to detail, diligence and conscientiousness
  • Strong interpersonal communication skills
  • Capable of working effectively both independently and with multiple teams/individuals
  • Excellent academic background with a higher degree in a quantitative subject (MSc / PhD or equivalent)

Line of Business

Every day, across the globe, our employees bring a commitment to our purpose and to driving responsible growth by living our values: deliver together, act responsibly, realize the power of our people and trust the team. A key aspect of driving responsible growth is doing so in a sustainable manner, a critical pillar of which is being a great place to work for our teammates.

In line with these values, in EMEA we have 9 Employee Networks, a wide range of Sports & Social clubs, and other development and networking opportunities so that you can enjoy a range of experiences and connect with colleagues across the bank. We also offer exclusive discounts to some of the most iconic cultural experiences for you to enjoy in your spare time outside of work. Learn more about our benefits here.

Good conduct and sound judgment is crucial to our long term success. It's important that all employees in the organisation understand the expected standards of conduct and how we manage conduct risk. Individual accountability and an ownership mind-set are the cornerstones of our Code of Conduct and are at the heart of managing risk well.

We are an equal opportunities employer, and ensure that no applicant is subject to less favourable treatment on the grounds of gender, gender identity, marital status, race, colour, nationality, ethnic or national origins, age, sexual orientation, socio-economic background, responsibilities for dependants, physical or mental disability. The Bank selects candidates for interview based on their skills, qualifications and experience.

As part of our standard hiring process to manage risk, please note background screening checks will be conducted on all hires before commencing employment.

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