Quantitative Researcher - FX

Quantitative Researcher - FXMillennium 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 libraryWork with the business and other Quants to deliver cutting edge Foreign Exchange specific pre-trade, pricing and risk analytics toolsRequirements:2+ years experience in FX market modelling conventions and derivatives.

Exotics preferable. Experience working with exotic models for single or multi asset: Local Stochastic Volatility, Local Correlation preferable but not essentialStrong knowledge in at least one of the main numerical methods Monte Carlo, Finite Differences, Finite Elements.

Modern C++ professional programming experience is preferredExperience supporting traders or portfolio managers on regular questions like pnl/risk explain and/or pre-trade analysis toolsStrong analytical and mathematical skillsStrong problem solving capabilitiesExcellence driven, detail oriented and organizedDemonstrating thoroughness and strong ownership of workSolid communication skillsRecruiter:Jamie BrimageHiring Manager:Nicolas HutchingsDepartment:Information Technology

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