DESCRIPTION:

Duties: Lead the design, implementation and optimization of Algorithmic Index pricing and risk management models in the FX Options business using complex financial and mathematical models including stochastic volatility, local volatility, arbitrage free vanilla, Monte Carlo, and PDE, as well as machine learning methods in Python and C++ leveraging distributed calculation on Cloud. Optimize the risk management of the Algorithmic Indices by designing and implementing analytical tools that leverage convex optimizers and machine learning methods. Represent the FX Options business in cross asset meetings regarding the Algorithmic Index business and lead the strategy of how FX Indices can be used in cross asset indices. Manage interactions with front office traders and sales and structuring team for their queries about quantitative support in FX options business. Innovate new analytic strategies for the Algorithmic Index FX options business to enrich our product offering for clients.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Financial Engineering, Computer Science, Finance, Mathematics, or related field of study plus 2 (Two) years of experience in the job offered or as Quantitative Researcher or related occupation.

Skills Required: This position requires two (2) years of experience with the following: Using C++ and Python to develop, test, and implement production-ready pricing and intraday risk management code for algorithmic indices for a global financial market making derivatives firm, and executing on distributed AWS Cloud compute; Designing and testing index strategies using R, Stata, and Machine Learning techniques including Random Forest and XGBoost; Using TypeScript React to implement web interfaces for pricing and risk management; Probability theory and numerical methods including Monte Carlo and partial differential equations solved in Crank-Nicholson finite difference grids; FX options payoffs including forwards and Vanilla options and non-deliverable forwards and options on a rolling baskets of forwards; FX options pricing models including stochastic volatility, local volatility, and arbitrage free Vanilla models; and FX options data analysis including skew relative value based on the relationship between volatility and spot moves. This position requires one (1) year of experience with the following: SVN for source control.  

Job Location: 270 Park Ave, New York, NY 10017.

Full-Time. Salary: $210,000 - $285,000 per year.