VP Quant - Equity / FX Derivatives & Volatility

I'm working with a leading global derivatives pricing and analytics business looking to add a Senior Quant to its growing London team.

This is a hands-on role focused on Equity and FX derivatives, combining volatility modelling and calibration with the development and enhancement of pricing models across vanilla and exotic products.

London Permanent

Up to £180k base + c.30% bonus + equity

A key attraction is the breadth of the role. Rather than being highly specialised within one product or trading desk, you'll have the opportunity to work across a wider range of derivatives problems, take real ownership and develop models and solutions from scratch.

• Develop and enhance volatility smiles, surfaces and calibration models
• Build and improve vanilla and exotic derivatives pricers
• Work across products including barriers, autocallables, cliquets, baskets and worst-ofs
• Improve pricing accuracy, Greeks and risk calculations
• Apply numerical methods including Monte Carlo and PDEs
• Investigate and solve complex pricing and modelling problems
• Develop production-quality solutions using Python and C++
• Opportunity to explore AI/ML techniques within pricing and risk analytics

• Around 5+ years' derivatives quant experience
• Equity Derivatives / Equity Volatility experience particularly relevant, although strong FX Options/Derivatives profiles will also be considered
• Strong volatility modelling, calibration and/or derivatives pricing experience
• Local Vol, Stochastic Vol and/or Local-Stochastic Vol knowledge
• Strong mathematical and numerical modelling skills
• Python and C++ or another compiled language
• MSc or PhD in a quantitative discipline

AI/ML experience is beneficial but not essential - strong derivatives modelling and the ability to solve complex quantitative problems are the priority.

This could be particularly interesting for a banking quant looking for broader exposure, greater ownership and the opportunity to work on new models and problems from the ground up.