I’m working with a leading global financial markets and derivatives business looking to hire an experienced Senior Quant to join its derivatives pricing and analytics team in London.
This is a hands-on quantitative role focused on Equity & FX volatility modelling, calibration and exotic derivatives pricing , with the opportunity to apply modern AI/ML techniques to pricing and risk analytics.
The role will cover:
• Building and improving volatility smile/surface models across Equity & FX
• Pricing and modelling exotic derivatives including autocallables, barriers, cliquets, baskets and worst-of products
• Developing and enhancing Monte Carlo, PDE and semi-analytical pricing methods
• Improving pricing accuracy, Greeks and risk calculations
• Applying AI/ML techniques to accelerate pricing, VaR and XVA calculations
• Working closely with front-office trading desks, risk teams and clients
Looking for:
• Strong experience in Equity and/or FX derivatives pricing and modelling
• Hands-on exotic options and volatility modelling/calibration experience
• Local Vol, Stochastic Vol and/or Local-Stochastic Vol
• Strong numerical methods including Monte Carlo and PDEs
• Python and C++
• MSc or PhD in a quantitative discipline
Please get in touch with your CV if you’d like to discuss the opportunity confidentially.
tg@barclaysimpson.com
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Job listing posted by Barclay Simpson: https://www.barclaysimpson.com/job/tg-041126/vp-quant-equity-fx-exotics-volatility/