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Front office FX Quant (AVP), New York

Location
New York
Job Type
Permanent
Posted
8 Sep 2022

Callable FX, TARFs, Barrier Options, Vanilla Rates, Swaptions, C++, Python

KEY RESPONSIBILITIES:

  • Design & implement FX models for derivative valuation and trading
  • Develop and maintain the quant model library with focus on derivatives pricing and LATAM
  • Provide quantitative expertise to traders, structures, and marketers
  • Work with other areas of the bank on model development and approval


KEY SKILLS & EXPERIENCE:

  • 2-6 years experience in FX (and/or Rates) derivative option modelling
  • Strong numerical skills with proven skills in C++ and Python
  • Excellent communication skills
  • Able to work autonomously and under pressure
  • PhD/Masters in a quantitative discipline (physics, maths, engineering, etc.)
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Details

  • Job Reference: 707268180-2
  • Date Posted: 8 September 2022
  • Recruiter: Millar Associates
  • Location: New York
  • Salary: On Application
  • Sector: Banking & Financial Services
  • Job Type: Permanent