FX/ Equity Derivatives Options Quant / London/ Geneva

Role:-

The role will involve working across  2 systematic volatility arbitrage programs (one in FX the other in Equity Indices)  

You will :-

• Develop and implement models to compute overhedges for options
• Pricing library model maintenance, development, and implementation
• Develop and implement a tool for hedging derivatives
• Implement new pricers and maintain existing ones for exotic trades

Requirements:-

• Strong C++ skills
• Equity derivative/ FX  modeling and options pricing experience
• 2-5 years of experience working as a desk quant
• PhD in a quantitative subject
• You must have very good knowledge of options.
• Accurate Greek computations and up-to-date calibration methods