Vice President, Quantitative Analyst – FX Options | SCIB
Santander - Triton Square, United Kingdom
GBP 54K-81K (estimate) Executive-level Full Time
Tasks
- Build risk framework
- Create mathematical documentation
- Design pricing and risk libraries
- Develop FX derivatives pricing models
- Develop pricing and risk APIs
- Extend pricing and risk models
- Implement Monte Carlo pricing engine
- Implement PDE pricing engine
- Improve quantitative testing process
- Maintain model libraries
- Optimize pricing algorithms
- Support trading, sales, and risk teams
Perks/Benefits
- Death-in-service benefit
- Dental insurance
- Discounted Critical Illness Cover
- Discounted Life Assurance
- Discretionary bonus
- Family Medical Insurance Discounts
- Health assessments
- Income protection insurance
- Paid time off
- Pension contribution
- Private medical insurance
- Share Plans
Skills/Tech-stack
API Design | Algorithm Optimization | C++ | Differential Equations | Foreign Exchange | Local Volatility | Model libraries | Monte Carlo | Options Pricing | Partial differential equations | Probability theory | Python | Risk Modeling | Stochastic Local Volatility | Stochastic Processes | Testing Automation
Education
Bachelor of Engineering | Bachelor of Science | Doctor of Philosophy | Master of Engineering | Master of Science | PhD
Roles
Analyst | Developer | Quantitative Analyst | Quantitative Developer
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