AVP/VP Front Office Quant Modeller - FX and Exotic FX products
We are currently partnered with a top tier investment bank that is looking to expand their Front Office FX and Commodities Quant Modelling team. The reason for the hire is that their FX Sales and Trading's team performance was so strong over this past year that the business is expanding in to new/more exotic FX products. In order to support this the quant team is looking to hire an AVP/VP Front Office Quant Modeller to build new FX derivative models from scratch. Imperative to this role is that candidates must have applied experience with Stochastic Local Modelling.
Another unique aspect of this role, beyond the new modelling efforts, is that this seat is very front office facing. You will have the opportunity to sit side by side with FX traders on a daily basis in order to help them with ad-hoc requests and more broadly help them from the businesses FX business globally. Due to this it is important to highlight although this will be a modelling heavy seat that candidates must also have a strong desire to interface with Traders. This is as close to the front office as you can get and advising them and helping them with adhoc issues and trade support will be a part of the day to day.
Responsibilities of the AVP/VP Front Office Quant Modeller - FX and Exotic FX products will include:
- Development and implementation of FX local stochastic volatility models from scratch
- Support for front office pricing and analytics of FX and commodity products
- Back testing and understanding of strategies including abstractions and requirements
- Collaboration between team members and traders in order to drive productivity and facilitate innovative ideas
Ideal candidates should possess:
- Applied local stochastic volatility modelling experience
- 2+ years of applied experience working on a trading desk / front office desk
- MS/PhD in a Stem field. Mathematics or Physics preferred
- Strong programming skills in Python/C+
- Strong knowledge of Monte Carlo, PDE's and Numerical Methods
If there is an interest, please click the APPLY NOW button below.
