Quantitative Researcher - FX.

Millennium Management; Greater London; On-site; GBP 60,000 - 90,000; Full time

Job summary

A top tier global hedge fund is seeking a Quantitative Researcher specializing in FX. The role involves maintaining and developing a cross-asset pricing and risk library, as well as delivering sophisticated pre-trade and pricing analytics tools for Foreign Exchange. Candidates should have 2+ years of experience in FX market models, strong analytical skills, and proficiency in Modern C++. This position offers an excellent opportunity for growth in a dynamic environment.

Qualifications

• 2+ years experience in FX market modelling conventions and derivatives.
• Strong knowledge in numerical methods like Monte Carlo and Finite Differences.
• Professional programming experience in Modern C++ is preferred.

Responsibilities

• Maintain and develop cross-asset pricing and risk library.
• Deliver pre-trade, pricing and risk analytics tools for FX.

Skills

FX market modelling conventions

Strong analytical skills

Problem solving abilities

Communication skills

Tools

Modern C++

Numerical methods Monte Carlo

Finite Differences

Finite Elements

Job description

Quantitative Researcher - FX

Millennium 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 at Millennium. FICT 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 hedge 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.
• ModernC++ 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