FX Derivatives Quant
FX Derivatives Quant
- 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.
- 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.
FAQs
Congratulations, we understand that taking the time to apply is a big step. When you apply, your details go directly to the consultant who is sourcing talent. Due to demand, we may not get back to all applicants that have applied. However, we always keep your CV and details on file so when we see similar roles or see skillsets that drive growth in organisations, we will always reach out to discuss opportunities.
Yes. Even if this role isn’t a perfect match, applying allows us to understand your expertise and ambitions, ensuring you're on our radar for the right opportunity when it arises.
We also work in several ways, firstly we advertise our roles available on our site, however, often due to confidentiality we may not post all. We also work with clients who are more focused on skills and understanding what is required to future-proof their business.
That's why we recommend registering your CV so you can be considered for roles that have yet to be created.
Yes, we help with CV and interview preparation. From customised support on how to optimise your CV to interview preparation and compensation negotiations, we advocate for you throughout your next career move.