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Millennium Management

Quantitative Researcher, Foreign Exchange

London, UK
C++ Monte Carlo Finite Differences Finite Elements
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Description

Quantitative Researcher - FX

Location: London, United Kingdom

Department: Information Technology

Quantitative Researcher - FX

Millennium 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 library

  • Work with the business and other Quants to deliver cutting edge Foreign Exchange specific pre-trade, pricing and risk analytics tools

Requirements:

  • 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 essential

  • Strong knowledge in at least one of the main numerical methods Monte Carlo, Finite Differences, Finite Elements.

  • Modern C++ professional programming experience is preferred

  • Experience supporting traders or portfolio managers on regular questions like pnl/risk explain and/or pre-trade analysis tools

  • Strong analytical and mathematical skills

  • Strong problem solving capabilities

  • Excellence driven, detail oriented and organized

  • Demonstrating thoroughness and strong ownership of work

  • Solid communication skills

Millennium Management
Millennium Management

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