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Front Office FX Options Quant (VP), London

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

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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.

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