Senior Quant - Equity/FX Derivatives & Volatility
Core
Develop and enhance volatility smiles, surfaces, and calibration models for vanilla and exotic equity and FX derivatives.
Role type
Senior quantitative developer (derivatives pricing)
Builds
Production pricing models for barriers, autocallables, cliquets, baskets, and worst-ofs
Domain
Financial services, derivatives pricing, volatility modelling
Deliverable
production ML models
Required skills
Volatility modelling, calibration, numerical methods (Monte Carlo, PDEs), Python, C++, mathematical modelling
Preferred skills
AI/ML techniques, stochastic volatility modelling, local volatility modelling
Responsibilities
Develop and enhance volatility smiles and surfaces, build vanilla and exotic derivatives pricers, improve pricing accuracy and Greeks calculations, solve complex pricing and modelling problems, develop production-quality solutions
Seniority
Senior, hands-on IC