As a Quantitative Analyst, you will be joining our Global Quantitative Analytics group (QA), which researches, develops and implements quantitative models for the FX options business. In your new role, you will be developing pricing and risk management models and analytics, providing quantitative analysis and advice regarding the usage of our models, working with IT on rolling out our models into strategic platforms, as well as developing relative value tools for FX structurers/ traders.
Our Client is one of the world's largest and most respected financial institutions, with 329 years of success, quality and innovation behind us.
What will you be doing?
- Developing models and methodologies for pricing and Risk managing FX option products
- Developing the mathematical and financial foundation for new models and methodologies
- Developing tests, estimation and calibration procedures for the models and methodologies
- Writing documentation for the models and methodologies, including the estimation and calibration procedures
- Implementing the models and methodologies, as well as estimating and calibrating procedures in C++ and Python in Quantitative Analytics Libraries
- Monitoring the daily performance of the models and methodologies
What we're looking for:
- Post-graduate qualification in Mathematics, Statistics, Engineering, Quantitative Finance or another quantitative field
- Experience in a global financial services firm with relevant experience with option business modelling
- Experience of FICC option markets and modelling
- In-depth knowledge of C/C++
Skills that will help you in the role:
- Knowledge of additional languages, such as Python, C# and XSLT
- Specific experience of FX option markets derivatives
- Previous experience in C++ v11
