Long dated FX Quant Analyst, VP, London, Paris

Recruiter
Millar Associates
Location
London, United Kingdom
Salary
Total to £220k + Benefits
Posted
22 Mar 2023
Closes
14 Apr 2023
Ref
18829763
Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
FX Hybrids, PRDCs, RFR cap/floors, Baskets, Equity, C++, C#

KEY RESPONSIBILITIES:
  • 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

ESSENTIAL SKILLS:
  • 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

DESIRABLE:
  • Long-term FX Products, PRDCs, FX Choosers, Baskets, Dupire, Autocallables
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