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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#

KEY RESPONSIBILITIES:

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

ESSENTIAL SKILLS:

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

DESIRABLE: