Quantitative Researcher - FX

London, England, United Kingdom

1/7/2025

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 hedge Foreign Exchange specific pre-trade, pricing and risk analytics tools
  
  

Requirements

• Previous experience in FX market modelling conventions and derivatives including 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
• Python experience is not required but encouraged
• 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
• Innovative thinking, demonstrating curiosity for new solutions to old problems
• Excellence driven, detail oriented and organized
• Demonstrating thoroughness and strong ownership of work
• Solid communication skills
• Able to work independently in a fast-paced environment