Front Office FX Options Quant (VP), London
- Employer
- Millar Associates
- Location
- London, United Kingdom
- Salary
- Total up to £260k + Benefits
- Closing date
- Jul 15, 2023
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- Job Function
- Other
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
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FX Options: Vol knock outs, Multi-currency pairs, Barriers, & Cross Asset, LSV, C++
KEY RESPONSIBILITES:
SKILLS AND EXPERIENCE:
KEY RESPONSIBILITES:
- 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.
SKILLS AND EXPERIENCE:
- 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.
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