FX Options Desk Quant: Real-Time Pricing & Risk

RocketFin Inc; Greater London; Hybrid; GBP 120,000 - 180,000; Full time

Job summary

RocketFin Consulting is partnering with a leading specialist inter‑dealer broker to place a senior FX Options Desk Quant. You will own pricing models and risk analytics, engaging with institutional counterparties across vanilla and exotic options.

The role demands deep FX options expertise, strong C++/Python skills, and a PhD/MSc in a quantitative field. This is a high‑impact desk role focused on pricing, risk, and model development.

Qualifications

• 4+ years of desk quant experience at a Tier 1 investment bank or leading wholesale markets firm
• Deep expertise in FX vanilla and exotic options pricing
• Strong command of stochastic volatility models and FX vol surface calibration
• Proficiency in C++ for quantitative library development and Python for analytics
• Solid grounding in stochastic calculus and numerical methods (Monte Carlo, finite difference PDE)
• Advanced degree (MSc or PhD) in Mathematical Finance, Applied Mathematics, Physics, or related field
• Prior experience at an inter‑dealer broker or in a client‑facing quant role
• Experience with multi‑currency hybrid or cross‑asset FX/Rates products
• Familiarity with xVA (CVA/DVA) in the context of FX derivatives
• Exposure to FRTB or SA‑CCR capital frameworks

Responsibilities

• Own and enhance real‑time pricing models for vanilla and exotic FX options (barriers, digitals, one‑touch/no‑touch, TRFs, accumulators)
• Provide Greeks analysis (Delta, Gamma, Vega, Vanna, Volga) and support intraday risk across the FX options book
• Develop and calibrate stochastic volatility models (Local Vol, Heston, SABR) to live FX vol surfaces
• Work closely with brokers and institutional clients to support pricing, execution, and analytics
• Produce model documentation and validation materials to meet internal governance standards
• Support new product development on bespoke FX derivatives structures

Skills

Stochastic calculus

FX options pricing

Quantitative analytics

Education

MSc or PhD in Mathematical Finance/Applied Mathematics/Physics

Tools

C++

Python

Monte Carlo

Finite difference PDE

Job description

RocketFin Consulting is partnering with a leading specialist inter‑dealer broker to place a senior FX Options Desk Quant. You will own pricing models and risk analytics, engaging with institutional counterparties across vanilla and exotic options.

The role demands deep FX options expertise, strong C++/Python skills, and a PhD/MSc in a quantitative field. This is a high‑impact desk role focused on pricing, risk, and model development.