Front Office FX Quant Analyst
Top-tier Global Investment Bank
KEY RESPONSIBILITIES:
- Model implement parametric local vol, local-stoch vol, and Jump Diffusion models
- Provide trading with models for structured and vanilla exotic option products
- Develop mathematical models for pricing new and existing products
- Implement and support models for the risk management and front office pricing system
- Assist the trading team in pricing and assessing the risk
KEY REQUIREMENTS:
- 5-10yrs experience in Front Office Quant Analytics role (ideally FX)
- PhD / DEA educated in Numerical field (Finite Methods, Numerical Analysis etc)
- A strong background solving and implementing PDE’s is essential (Monte Carlo experience not essential)
- Experience of vanilla exotics pricing (PDE, Local Stoch Vol, Heston, SABR, Mixed Smile, Range Accrual products), Vol Surface Modelling (Malz, SABR, modified SABR etc) Model Calibration
- Hands on experience on Heston calibration, and its parameter estimation
- Able to explain complex ideas in a clear manner
- Team-player, willing to share ideas learn from others
- Exceptional programming skills in C++
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