Front Office Quant, FX Options & Hybrids Snr VP, Dir, London

Leading Global Investment BankFX Options, FX-IR Hybrids, Forwards, Swaps, Stoch Vol, C++, JavaKEY 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 work with Quant team on wider projects for the business/ risk management
Understand business needs & market conventions, interacting with traders, management, and initiate solutions with clear written communications.
Perform model development with deep understanding of arbitrage, hedging, calibration and stochastic processes.
Implement models in C++ and Java
Understand processes and work flows 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.)

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