Senior Short Dated FX Quant (Asia) recruitment
The FX business is a very large operation for them, it is pretty much their core business, spread across London and Asia.
You will be sitting on the trading floor within the modeling group which sits next to the trading desk. You are expected to interact with traders for gathering specifications of models, writing models supporting their models as well as trade specific calculators in C++.
It is very important that you have an understanding of all issues arising when you try and calibrate FX models to real markets, so not just an academic with experience of models but more importantly someone with experience working with these models. This includes methods for regularisation of arbitrageable vol surfaces in the context of local volatility and stability of greeks calculation. These are all real practical problems that you would have seen over and over again, where you will know the solution and have solved. Candidate must have a minimum of 5/6 year’s modelling experience within FX.
For further information please contact John Meadowcroft on 020 7780 6700. Alternatively forward your CV to John.Meadowcroft@AnsonMcCade.com