Long-dated FX & Hybrids Quant (VP), London

Ref: LDFX-2002
£££ Excellent + Bonus + Benefits
Leading Global Investment Bank
FX Hybrids, PRDCs, RFR cap/floors, Baskets, Equity, C++, C#

This global investment bank, seeks to hire a VP Quant Analyst to join a small Front Office team supporting exotic FX & Rates trading (with some Equity). You will be involved in multi-asset modelling & pricing of Exotic Derivatives and Hybrids and building Front Office tools & applications and developing the quant model library in C++ & C#.  This is a great opportunity to work with some of the best quants in the industry and be directly involved with the business.


  • Engineer the improvement, extension and testing of the models and pricing & risks engines, with a particular focus on FX & Equity asset classes.
  • Implement valuation models, tools & pricers into the quant library, including structured FX/IR, FX/Equity models and tool development
  • Provide support to the trading desk and risk management
  • Improve the client tools and be involved in next generation of tools


  • Minimum of 5 years, in a FO quant role, with a strong focus on FX (Any FX/Equity Hybrids an advantage)
  • Experience around quantitative challenges raised by Benchmark reform, e.g. RFR cap/floor pricing or CMS Fallback.
  • Advanced development skills (C++ or C#) from implementation and support of models
  • Experience in developing at least one product or model from scratch for production use.
  • Experience in calibration of Stochastic & Local Volatility, or advanced structured IR model desirable
  • PhD or Masters educated in a scientific field


  • Long-term FX Products, PRDCs, FX Choosers, Baskets, Dupire, Autocallables