Quant fund are looking to hire a derivatives quant analyst to be based either in London or Geneva.
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
- 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