Location: Greater London, United Kingdom, United Kingdom

Primary Responsibilities:

• Working as part of a quant solutions team to develop an FX Option portfolio optimisation platform with full risk and valuation metrics.
• Understanding the clients' risk management requirements and converting these into executable algorithms.
• Liaison with other risk managers and developers to build an efficient, robust system with user-friendly front end and back end database.
• Research & Development of approaches to solve new and existing problems

Qualifications

Skills / Experience

• Essential

  • Working understanding of FX products including Vanilla Options and their related 1st and 2nd order risks.

  • Solid knowledge in linear programming methods, statistic models, market standard stochastic models and volatility surface models.

  • Bachelor's or Master's degree in Mathematics, Financial Mathematics, Physics, Computer Science or other quantitative fields

  • Strong programming skills in Python

  • Excellent verbal and written communication skills

  • Highly motivated with enthusiasm and willingness to take ownership

 

• Desirable

  • Knowledge in recent machine learning / AI developments
  • Knowledge in KDB+/Q

Job Title: FX Options Quant Developer Department: Non-Linear Product Solutions Location: London Position Type: Full-time Role Background: Due to continued growth and increased market share, we are looking for a new, hands-on and solution-orientated member of the Non-Linear Quantitative Solutions Team with a focus on FX Options products. You will be working in a small team of derivatives SME’s that forms part of a multidisciplinary group – made up of quantitative analysts, data analysts, data scientists, product specialists, developers and testers – and is responsible for the creation and improvement of products for the Front Office Broking and Fenics Market Data divisions of BGC Group. Due to the evolving nature of the sector, the role will involve elements of quant research and development and financial engineering.