Vice President, Quantitative Analyst – FX Options | SCIB
Core
Develop, extend, and maintain FX model libraries for pricing and risk management in a global derivatives business.
Role type
Vice President, Quantitative Analyst (FX Options)
Builds
Pricing and risk libraries for existing and prospective FX products
Domain
Financial Services / Quantitative Finance / FX Derivatives
Deliverable
production ML models | product features
Required skills
C++, Python, Foreign Exchange products valuation, options pricing theory, quantitative models, probability theory, stochastic processes, algorithm development and optimization, API design
Preferred skills
PhD in mathematics, Stochastic-Local volatility models, PDE or Monte Carlo pricing engine implementation, Spanish language fluency
Responsibilities
Design and implement pricing and risk libraries, extend existing models to include interest rate volatility risk, develop efficient risk frameworks using advanced techniques, refine quantitative tools to meet quality standards, assist with testing process development, provide mathematical and technical documentation, support Trading, Sales, and Risk teams
Seniority
Vice President, strategic leadership and hands-on IC
