Fixed Income Division – Vice President, FX Options Strat (New York)
Core
Build, maintain, and extend pricing models for FX derivatives and provide analyses on models, pricing, risk, and P&L calculations for the FX Options trading desks.
Role type
Vice President, Quantitative Analyst (FX Options Modeling)
Builds
Pricing models and risk frameworks for FX derivatives
Domain
Financial Services / FX Derivatives
Deliverable
production ML models
Required skills
Probability theory, Statistics, C++, Scala, Analytical problem solving, Model control
Preferred skills
None stated
Technologies
C++, Scala
Responsibilities
Build and extend pricing models for FX derivatives, Provide analyses on models, pricing, risk, and P&L, Liaise with IT for pricing and risk framework, Liaise with control groups on model control, Produce ad hoc deliverables and reporting
Seniority
Vice President, hands-on IC