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Quantitative Researcher - FX

Quantitative Researcher - FX

Millennium ManagementLondon, England, United Kingdom
30+ days ago
Job type
  • Full-time
Job description

Quantitative Researcher - FX

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.
  • ModernC++ 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

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    Quantitative Researcher • London, England, United Kingdom