Join a leading investment bank's highly collaborative FX Derivatives Quant team, where you'll have the unique opportunity to work closely with the trading desk. This dynamic environment offers strong visibility, valuable exposure to cutting-edge projects, and the autonomy to drive impactful solutions. You'll be at the heart of a team that values cross-functional collaboration and is integral to the bank's trading strategies.
Key Responsibilities:
- Develop pricing models for FX volatility products (e.g., Swaps, options on variance/volatility).
- Support PnL analysis and create tools for backtesting and risk management.
- Implement Path-Dependent Volatility models for alpha generation.
- Price exotic options (shout options, vol knock-outs) using PDE and Monte Carlo methods.
- Compare realized and implied fly spreads to ensure pricing accuracy.
- Implement knock-out barriers in Monte Carlo simulations.
Qualifications:
- PhD or Master's degree in a quantitative field (Mathematics, Physics, Finance, or related).
- Extensive experience in derivatives pricing, particularly volatility products and exotic options. Proven track record in developing and implementing PDE pricing models and quantitative tools.
- Proficiency in Python, C++, or similar programming languages.
- Experience with Monte Carlo simulations, numerical PDE solving, and stochastic volatility models.
- Familiarity with quantitative techniques like local stochastic volatility models, Path-Dependent Volatility, and alpha generation strategies.
- Solid understanding of risk management and hedging techniques.
- Strong problem-solving abilities, attention to detail, and excellent communication skills. Ability to collaborate effectively with Trading, Structuring, and other stakeholders.
