Top tier US investment bank is currently seeking an experienced quant to join its derivative model validation team on London. The current need is for someone with specific FX (long and short dated) and hybrid experience to take a senior role in the validation of all front office pricing models from the FX desk.

The good thing about this team is that documentation does not take up a considerable amount of the work load. With risk management being more important than ever, this group is highly visible to senior management and is an integral part of the derivative trading process. The team is required to do in depth mathematical modelling to create benchmark models to truly analyze the efficiency and hedge risk of the front office models.

The FX business of the bank has been booming in 2010 and this has been the catalyst for this particular role being released. This is a senior role so managerial experience would be a benefit as you will be mentoring and directing junior quants in the team.

Requirements:

PhD/DEA in a highly quantitative subject. Mathematics, Physics, Financial Engineering etc.
Excellent programming ability in C++, Java, Matlab
Financial mathematics, Stochastic Calculus, Stochastic Volatility, Local stochastic volatility, advanced PDE modelling, Monte Carlo simulations, Binomial trees.
Expert knowledge of the FX derivative market i.e. correlation swaps; discrete barrier options; double average forwards and FVAs.
Leadership qualities
Good communication skill

To apply or for more information please contact quantexotic@selbyjennings.com
0207 019 4137