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Experienced FX Quant Analyst-New York City
Tier 1 American Investment Bank
Salary negotiable
This Front Office FX and Hybrids Quant team are market leaders for the work they have done so far. This is an award winning international American Investment Bank and are known for their forward thinking approach to finance and the complex products it trades. The successful candidate must have solid experience working with FX products and hybrids and cannot be afraid of taking risks and breaking boundaries, as this bank are frontiers for benchmarking the markets.
The Intermediate Quantative Analyst position is a very demanding front office position. The Intermediate Quantative Analyst sits on the Derivatives Trading desk and working side by side with the Traders.
The Analyst works with sophisticated derivatives traded in the market, which requires not only programming skills, analytic skills, but also deep understanding of market.
They develop derivative pricing models and risk management infrastructures, so that the derivative products can be fairly priced and risk managed. The ever changing market environment and the increased sophistication of derivative products requires not only good understanding of the derivative pricing, hedging and trading, but also the rapidly changing market. They must be excellent programmers, mathematician and practicians. Familiar with interest rate and cross currency products as well as FX products..
Responsibilities for the Front Office FX Quant Analyst role:
-You will be modelling and implementing these models in the quant library in C++ where you will gain an in depth understanding of local volatility implementation in pde solvers and multi-asset monte carlo.
-Supporting the FX Trading desk, assisting and supporting their use of the models created by Front Office. You will also write a tool for back-testing trading strategies and writing “rapid responses” for structurers and traders.
-Develop models and implement them in software for pricing and risk managing derivatives
-Develop pricing and calibration tools
-Benchmark and compare results of various techniques
-Implement products using pricing engines and models
-Rapid prototyping of models and products
Ideal background of the successful candidate:
-The manager will look at exotic rates or FX backgrounds.
-Experience with FX would be advantageous.
-Must come from a Front Office Quant Analyst team, and looking for a bigger challenge or the chance to work with hybrid models.
-Exceptional coding skills and solid programming skills, e.g. C++, VBA.
-Excellent level of Financial Mathematics i.e. stochastic calculus, PDE modelling, binomial trees, etc.
-PhD in Maths/Physics/Financial Engineering (or quant related subject) from a top-school.
To apply for this position please contact us by submitting your CV in word format by email or alternatively phone us on +44 207 019 4137
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.
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