Quantitative Researcher – FX

Overview

In this role you will help advance Millennium’s in-house FX pricing and risk analytics by collaborating with quants across major hubs to maintain cross-asset pricing libraries and build FX-specific pre-trade tools. You will work with traders and quants to deliver robust analytics, supporting decisions in a fast-paced, technology-driven environment. This is an opportunity to shape quantitative finance tooling that underpins trading and risk management at a premier hedge fund.

Responsibilities

• Maintain and develop cross-asset pricing and risk library with Quants in London, Geneva & New York
• Deliver FX pre-trade, pricing and risk analytics tools in collaboration with business and Quants
• Support traders and portfolio managers with analytics and risk explanations on regular questions

Key requirements

• 2+ years FX market modelling and derivatives experience; exotics preferred
• Experience with exotic models (Local Stochastic Volatility, Local Correlation)
• Strong knowledge of numerical methods (Monte Carlo, Finite Differences, Finite Elements)
• Modern C++ programming experience
• Experience supporting traders on pnl/risk explain and pre-trade analysis
• Strong analytical, mathematical, and problem-solving skills
• Excellence-driven, detail-oriented, organized, with strong ownership and communication

• Strong analytical and mathematical skills
• Solid communication skills
• Ownership of work and thoroughness
• FX market modelling
• Exotic derivatives modelling
• Local Stochastic Volatility

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