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Quantitative Researcher - FX

Millennium Management

London

On-site

GBP 60,000 - 100,000

Full time

30+ days ago

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An established industry player is seeking a Quantitative Researcher specializing in FX to join their dynamic Quant Technology team. This role offers the opportunity to work closely with talented Quants across global offices, developing cutting-edge analytics and trader support tools. As part of a fast-paced environment under the Fixed Income & Commodities Technology group, you'll contribute to maintaining and enhancing the in-house pricing libraries that support trading activities. If you possess strong analytical skills, a knack for problem-solving, and a passion for innovative solutions, this is a fantastic opportunity to make a significant impact in the financial sector.

Experience in FX market modelling and derivatives, especially exotics.
Strong knowledge of numerical methods like Monte Carlo and Finite Differences.

Develop and maintain cross-asset pricing and risk library.
Deliver FX-specific pre-trade, pricing, and risk analytics tools.

Analytical Skills

Problem Solving

Communication Skills

Innovative Thinking

Detail Orientation

Modern C++

Python

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:

Previous experience in FX market modelling conventions and derivatives including 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
Python experience is not required but encouraged
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
Innovative thinking, demonstrating curiosity for new solutions to old problems
Excellence driven, detail oriented and organized
Demonstrating thoroughness and strong ownership of work
Solid communication skills
Able to work independently in a fast-paced environment

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