Long dated FX Quant Analyst, VP, London, Paris
- Millar Associates
- London, United Kingdom
- Total to £220k + Benefits
- 22 Mar 2023
- 21 Apr 2023
- Job Function
- Industry Sector
- Finance - General
- Employment Type
- Full Time
FX Hybrids, PRDCs, RFR cap/floors, Baskets, Equity, C++, C#
- Engineer the improvement, extension and testing of the models and pricing & risks engines, with a particular focus on FX & Equity asset classes.
- Implement valuation models, tools & pricers into the quant library, including structured FX/IR, FX/Equity models and tools development
- Provide support to the trading desk and risk management
- Improve the client tools and be involved in next generation of tools
- Minimum of 5 years, in a FO quant role, with a strong focus on FX
- Experience around quantitative challenges raised by Benchmark reform, e.g. RFR cap/floor pricing or CMS fallback.
- Advanced development skills (C++ or C#) from implementation and support of models
- Experience in developing at least one product or model from scratch for production use.
- Experience in calibration of Stochastic & Local Volatility, or advanced structured IR model desirable
- PhD or Masters educated in a scientific field
- Long-term FX Products, PRDCs, FX Choosers, Baskets, Dupire, Autocallables