Cross-Asset Quant Analyst (FX-Equity Hybrids), VP, London Cross-Asset Quant Analyst (FX-Equity Hybrids), VP,  …

Millar Associates
in London, United Kingdom
Permanent, Full time
Last application, 02 Dec 21
Circa £150k Base + Front Office Bonus + Benefits
Millar Associates
in London, United Kingdom
Permanent, Full time
Last application, 02 Dec 21
Circa £150k Base + Front Office Bonus + Benefits
Posted by:
Craig Millar • Recruiter
Posted by:
Craig Millar
Recruiter
Our client, a leading Investment Bank, seeks to hire a junior Quant Analyst to join its expanding Front Office business in London. You will be involved in multi-asset modelling & pricing (e.g. FX/IR or FX/Equity Hybrid models), building Front Office tools & applications and developing the quant model library in C++ & C#. You will also provide quantitative solutions to the wider firm as per business needs.

FX-Equity Hybrids, Smile modelling, Quanto modelling, C++, C#, Innovation

KEY RESPONSIBILITIES:

  • Quantitative valuation modelling
  • Implement valuation models, tools & pricers into the quant library, including structured FX/IR, FX/Equity models and tool development
  • Provide support to the trading desk and risk management
  • Coordinate with quant developers the delivery of models & pricers into production

ESSENTIAL SKILLS & EXPERIENCE:

  • 3-7 yrs in a Front Office modelling / analytics role but we’ll also consider Model Val experience. 
  • Knowledge of cross asset modelling: knowledge of market conventions
  • Track record of pushing models into production systems
  • Able to build stable valuation models & perform testing
  • Experience with pricing libraries (C++ or C#) & supporting front office tools (Excel)
  • PhD or Masters educated in a relevant quantitative field

DESIRABLE:

  • FX/Equity Cross-asset products, Smile modelling, Quanto modelling
  • Broad product knowledge: Emerging Currencies, Equity, Hybrids
  • Additional IT skills: e.g. databases, valuation system architecture
  • Good communication skills
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