Vice President, Quantitative Analyst – FX Options | SCIB

About the role

Develop, extend, and maintain pricing and risk models and libraries for FX derivatives, including improving interest-rate volatility modeling, risk frameworks, APIs, and algorithms. Document modeling assumptions and support Trading, Sales, and Risk teams, collaborating with colleagues across international offices. Candidates should have experience in a similar quantitative role, in-depth knowledge of foreign exchange products and valuation, strong C++ and Python programming skills, and a higher qualification in a relevant mathematical discipline. They should also understand options pricing, probability, and stochastic processes; a PhD, Spanish fluency, stochastic-local volatility experience, and PDE or Monte Carlo engine implementation are desirable.