Quantitative Researcher - FX
London - 62 Buckingham Gate
Millennium
Millennium is a global, diversified alternative investment firm with the mission to deliver high-quality returns for our investors.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.
- Modern C++ 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
* Salary range is an estimate based on our AI, ML, Data Science Salary Index 💰
Tags: Monte Carlo Python
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