VP Quant – Equity / FX Derivatives & Volatility

Barclay Simpson; Greater London; On-site; GBP 162,000 - 198,000; Full time

Job summary

Barclay Simpson is seeking a Senior Quant for its London team, focusing on equity and FX derivatives. You will develop volatility models, calibrate pricing engines, and build robust pricers for vanilla and exotic products.

You’ll work across barriers, autocallables, cliquets, baskets and worst-ofs, improving Greeks and risk metrics while applying Monte Carlo and PDE techniques. Strong Python/C++ skills are essential.

Qualifications

• 5+ years of derivatives quant experience.
• Equity Derivatives / Equity Volatility experience.
• FX Options/Derivatives experience welcomed.
• Strong volatility modelling, calibration and pricing.
• MSc or PhD in a quantitative field.

Responsibilities

• Develop and enhance volatility smiles, surfaces and calibration models.
• Build and improve vanilla and exotic derivatives pricers.
• Work across barriers, autocallables, cliquets, baskets and worst-ofs.
• Improve pricing accuracy, Greeks and risk calculations.
• Apply numerical methods including Monte Carlo and PDEs.
• Investigate and solve complex pricing and modelling problems.
• Develop production-quality solutions using Python and C++.
• Opportunity to explore AI/ML techniques within pricing and risk analytics.

Skills

Derivatives quant experience

Equity Derivatives / Equity Volatility

FX Options/Derivatives

Volatility modelling

Python and C++

Education

MSc or PhD in quantitative discipline

Tools

Python

C++

Job description

I'm working with a leading global derivatives pricing and analytics business looking to add a Senior Quant to its growing London team.

This is a hands-on role focused on Equity and FX derivatives, combining volatility modelling and calibration with the development and enhancement of pricing models across vanilla and exotic products.

London | Permanent

Up to £180k base + c.30% bonus + equity

A key attraction is the breadth of the role. Rather than being highly specialised within one product or trading desk, you’ll have the opportunity to work across a wider range of derivatives problems, take real ownership and develop models and solutions from scratch.

The role:

• Develop and enhance volatility smiles, surfaces and calibration models
• Build and improve vanilla and exotic derivatives pricers
• Work across products including barriers, autocallables, cliquets, baskets and worst-ofs
• Improve pricing accuracy, Greeks and risk calculations
• Apply numerical methods including Monte Carlo and PDEs
• Investigate and solve complex pricing and modelling problems
• Develop production-quality solutions using Python and C++
• Opportunity to explore AI/ML techniques within pricing and risk analytics

What we’re looking for:

• Around 5+ years’ derivatives quant experience
• Equity Derivatives / Equity Volatility experience particularly relevant, although strong FX Options/Derivatives profiles will also be considered
• Strong volatility modelling, calibration and/or derivatives pricing experience
• Local Vol, Stochastic Vol and/or Local-Stochastic Vol knowledge
• Strong mathematical and numerical modelling skills
• Python and C++ or another compiled language
• MSc or PhD in a quantitative discipline

AI/ML experience is beneficial but not essential - strong derivatives modelling and the ability to solve complex quantitative problems are the priority.

This could be particularly interesting for a banking quant looking for broader exposure, greater ownership and the opportunity to work on new models and problems from the ground up.