Quantitative Researcher
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About The Position
Lead the design, implementation and optimization of Algorithmic Index pricing and risk management models in the FX Options business using complex financial and mathematical models including stochastic volatility, local volatility, arbitrage free vanilla, Monte Carlo, and PDE, as well as machine learning methods in Python and C++ leveraging distributed calculation on Cloud. Optimize the risk management of the Algorithmic Indices by designing and implementing analytical tools that leverage convex optimizers and machine learning methods. Represent the FX Options business in cross asset meetings regarding the Algorithmic Index business and lead the strategy of how FX Indices can be used in cross asset indices. Manage interactions with front office traders and sales and structuring team for their queries about quantitative support in FX options business. Innovate new analytic strategies for the Algorithmic Index FX options business to enrich our product offering for clients.
