VP Quant: FX Options Pricing & Risk Architect

Banco Santander SA; Greater London; Vor Ort; GBP 150.000 - 230.000; Vollzeit

Zusammenfassung

Banco Santander SA in London seeks a Vice President, Quantitative Analyst – FX Options to develop and maintain FX pricing and risk models in the Quants group.

The role collaborates with traders, sales and risk teams globally, focusing on model libraries, API design, and advanced pricing techniques. Candidates should have strong programming skills and a PhD or MSc in a mathematical field, with extensive FX experience.

Qualifikationen

• Experience in a similar quantitative role.
• Deep knowledge of Foreign Exchange products and valuation.
• Strong programming skills in C++ and Python.
• Advanced degree in a mathematical field.
• Ability to explain modelling assumptions and risk implications.
• Familiarity with stochastic volatility models and PDE pricing is a plus.

Aufgaben

• Develop derivatives pricing models for FX.
• Extend existing models to include interest rate volatility risk.
• Design and implement pricing and risk libraries.
• Develop efficient risk framework to represent risks.
• Design and extend APIs for pricing libraries.
• Develop and optimize algorithms.
• Refine quants framework and tools to high standards.
• Assist testing of quantitative libraries.
• Provide documentation to internal stakeholders.
• Support trading, sales and risk teams.

Kenntnisse

C++ & Python

FX products knowledge

Options pricing theory

Quantitative modelling

Problem solving

Interpersonal skills

Ausbildung

MSc or PhD in math/related

PhD in relevant field

Jobbeschreibung

Banco Santander SA in London seeks a Vice President, Quantitative Analyst – FX Options to develop and maintain FX pricing and risk models in the Quants group.

The role collaborates with traders, sales and risk teams globally, focusing on model libraries, API design, and advanced pricing techniques. Candidates should have strong programming skills and a PhD or MSc in a mathematical field, with extensive FX experience.