This global investment bank, seeks to hire a VP Quant Analyst to join a small Front Office team supporting exotic FX & Rates trading (with some Equity) in London. You will be involved in multi-asset modelling & pricing of Exotic Derivatives and Hybrids and building Front Office tools & applications and developing the quant model library in C++ & C#. This is a great opportunity to work with some of the best quants in the industry and be directly involved with the business.
FX Hybrids, PRDCs, RFR cap/floors, Baskets, Equity, C++, C#
- Engineer the improvement, extension and testing of the models and pricing & risks engines, with a particular focus on FX & Equity asset classes.
- Implement valuation models, tools & pricers into the quant library, including structured FX/IR, FX/Equity models and tools development
- Provide support to the trading desk and risk management
- Improve the client tools and be involved in next generation of tools
- 5 yrs experience in a similar role
- Experience around quantitative challenges raised by Benchmark reform, e.g. RFR cap/floor pricing or CMS fallback.
- Advanced development skills (C++ or C#) from implementation and support of models
- Experience in developing at least one product or model from scratch for production use.
- Experience in calibration of Stochastic & Local Volatility, or advanced structured IR model desirable
- PhD or Masters educated in a scientific field
- Long-term FX Products, PRDCs, FX Choosers, Baskets, Dupire, Autocallables