Front Office FX Options & Hybrids Quant (AVP), London

Our client, a world-leading Investment Bank, seeks to hire a junior Quant Analyst to join its expanding exotics business in London. You will model and price hybrid and exotic FX Options products globally, produce and deliver trading tools, as well as new payoff implementations and will get gain exposure to other asset classes too (e.g. Inflation). Keen to hear from junior quants working on primarily FX Options & Barriers but also interested in gaining Hybrids, Long-dated FX, or structured products experience.

KEY RESPONSIBILITIES:

• Implement models, pricers and payoffs into the global quant library
• Build tools and provide support to the Trading Desk
• Coordinate with IT Quants for the delivery of models, pricers and payoffs into production

KEYSKILLS & EXPERIENCE:

• 3-5 yrs+ in quant analytics, modelling, pricing FXO, Long-dated FX, and/or Hybrids
• Experience with pricing libraries in C++ or C#
  
• Experience supporting front office tools (e.g. Excel pricing sheets)
• Exposure to calibration of Stochastic & Local Volatility is essential
• Ability to explain explain theoretical and practical issues around the usage of multifactor HJM models.(e.g. how does mean reversion feed into the calibration process for simple callable swaps)
• You'll need exposure to a mix of the following:  Fibonacci sequence, writing sudo codes, data structures, describing distributions, option pricing, greeks, solving differential equations, integration of stochastic process and trading strategies
• PhD or Masters educated in a scientific field