RESPONSBILIITES:
Develop, improve and maintain new and existing FX option pricing models, from volatility surfaces to multi-factor exotic models.
Develop, improve and maintain risk reports, stress scenarios and analyse risk of the firm’s option books.
Collaborate with trading and sales to provide innovative solutions for clients and optimise ongoing business.
Expand our foreign exchange options franchise by working on new business initiatives with global impact.
QUALIFICATIONS:
Excellent academic record with Bachelor, Masters or Ph.D. in a quantitative or engineering field, e.g. mathematics, quantitative finance, physics, computational finance, computer science, engineering
Strong analytical and programming skills
1-3 year of experience in a quantitative financial modelling role. Experience of foreign exchange derivative models preferred
Creative problem-solving skills, and the ability to communicate complex ideas to a variety of audiences including trading and sales (in writing and verbally)
Ability to work independently but also thrive as part of a global team in a fast-paced dynamic environment
