Vice President, Quantitative Analyst – FX Options | SCIB

About the role

Develop, extend, and maintain FX derivatives pricing and risk models, libraries, APIs, and algorithms, including improvements to interest-rate volatility risk modeling. Support Trading, Sales, and Risk teams by explaining model assumptions and risk implications, collaborating with international quant groups, and maintaining high-quality testing and documentation. Candidates should have experience in a similar quantitative role, in-depth knowledge of FX products and valuation, strong C++ and Python programming skills, and a higher qualification in a relevant mathematical discipline. They should also understand options pricing, quantitative models, probability, and stochastic processes; a PhD, Spanish fluency, stochastic-local volatility experience, or PDE and Monte Carlo engine implementation experience is advantageous.