Overview MLEMEA Analytics includes a strong team focussed on serving the long- and short-dated FX derivatives businesses and the hybrid derivatives business all within global rates and currencies. This team spans quant and quant developer roles all reporting into the head FX quant. The team is responsible for direct support of traders, structurers and other consumers of FX analytics on the floor, maintenance of analytics-related aspects of FX pricing and risk applications managed by IT and development of new models, calibrations and pricing techniques. Analytics are delivered increasingly via a global cross-asset analytics library which the FX analytics sit within.
Job Description Responsibilities - Develop and extend pricing models, model calibrations and market data calibrations with the trading desk for the short-dated FX business areas
Requirements The code is developed in C++ with spreadsheets used to prototype C++ interfaces. The FX quantitative analytics library is used by several pricing, risk management and market data systems.The right candidate will need to have
- Support the trading desk with modelling requests and use of existing models
- Deliver model development in a production ready state.
- Address performance issues regarding risk stability and speed of quantitative analytics code.
- A good degree in a highly numerate degree subject, possibly at postgraduate level.
- Experience of modelling concepts for FX including vanilla smile and exotic options
- Excellent C++ skills.
- A good knowledge of conventions for the FX options' market
- Experience of working within a structured software development environment which uses code control software and has a formal release process
- Rigorous problem solving skills. Many of the issues to be faced are not simple and the accurate diagnosis and solution of them requires a strong analytical approach,
Bank of America - 2 years ago
Bank of America Corporation is a bank holding company. Through its banking subsidiaries (the Banks) and various non-banking subsidiaries thr...