Quantitative Researcher - FX
Core
Develop and maintain in-house pricing libraries and analytics tools for Foreign Exchange trading, supporting traders and portfolio managers with pre-trade analysis and risk explanations.
Role type
Quantitative Researcher (FX)
Builds
Cross-asset pricing and risk libraries, FX-specific pre-trade and risk analytics tools
Domain
Financial services, Foreign Exchange, Derivatives
Deliverable
production ML models
Required skills
FX market modelling, derivatives pricing, exotic models (Local Stochastic Volatility, Local Correlation), numerical methods (Monte Carlo, Finite Differences, Finite Elements), C++ programming, risk analysis, PnL explanation
Preferred skills
Exotics modelling, multi-asset modelling, C++ professional programming
Responsibilities
Maintain and develop cross-asset pricing and risk library, deliver FX-specific pre-trade and risk analytics tools, support traders and portfolio managers with PnL/risk explain and pre-trade analysis
Seniority
Mid-level, hands-on IC