Quantitative Researcher - FX

Quantitative Researcher - FXMillennium is a top tier global hedge fund with a strong commitment to leveraging innovations in technology and data science to solve complex problems for the business. We are assembling a strong Quant Technology team to build our next generation in-house analytics and trader support tools. This team will sit under the Fixed Income & Commodities Technology (FICT) group and will develop and maintain the in-house pricing libraries to support trading in Fixed Income, Commodities, Credit, and FX business T provides a dynamic and fast-paced environment with excellent growth opportunities.

Responsibilities:

Work closely with Quants in London, Geneva & New York to maintain and develop our cross-asset pricing and risk library

Work with the business and other Quants to deliver cutting edge Foreign Exchange specific pre-trade, pricing and risk analytics tools

Requirements:2+ years experience in FX market modelling conventions and derivatives. Exotics preferable.

Experience working with exotic models for single or multi asset:
Local Stochastic Volatility, Local Correlation preferable but not essential

Strong knowledge in at least one of the main numerical methods Monte Carlo, Finite Differences, Finite Elements.

Modern C++ professional programming experience is preferred

Experience supporting traders or portfolio managers on regular questions like pnl/risk explain and/or pre-trade analysis tools

Strong analytical and mathematical skills

Strong problem solving capabilities

Excellence driven, detail oriented and organized

Demonstrating thoroughness and strong ownership of work Solid communication skills

Recruiter:

Jamie Brimage Hiring Manager:

Nicolas Hutchings Department:

Information Technology