This job has expired

You will need to login before you can apply for a job.

Front Office FX Options Quant (VP), London

Millar Associates
London, United Kingdom
Total up to £260k + Benefits
Closing date
Jul 15, 2023

View more

Job Function
Industry Sector
Finance - General
Employment Type
Full Time
FX Options: Vol knock outs, Multi-currency pairs, Barriers, & Cross Asset, LSV, C++

  • Support the FX Options & other Cross-asset trading desks
  • Develop, implement models and test models developed in C++
  • Assist the trading team in pricing and assessing the risk of complex transactions.
  • Document and explain models to the risk for mark to market and support the model risk team in their validation process.
  • Implement models into the common C++ Library, FO booking system
  • Support pricing tools and the risk management system from a quantitative point of view.

  • Minimum of 5 years' as a Quant in FX Options such as, e.g, Vol knock outs, multi-currency pairs, Barriers, etc., and/or experience gained in Equity, Commodities
  • Strong C++ and good experience of a managed Pricing library
  • Strong communication and interpersonal skills
  • Expert in Local Vol & LSV and calibrations
  • Master Degree or PhD in Maths, Engineering, Physics, etc.

Sign in to create job alerts

Sign in or create an account to start creating job alerts and receive personalised job recommendations straight to your inbox.

Create alert