FX Options Desk Quant London Liverpool Street, EC2M 4TP

RocketFin is partnering exclusively with a leading specialist inter‑dealer broker operating at the centre of wholesale FX and derivatives markets to place a senior FX Options Desk Quant.

This is a hands‑on desk role with direct ownership of pricing models and real‑time risk, working alongside experienced brokers and engaging with institutional counterparties across vanilla and exotic FX options. Full client details are disclosed at interview stage.

Responsibilities

• Own and enhance real‑time pricing models for vanilla and exotic FX options (barriers, digitals, one‑touch/no‑touch, TRFs, accumulators)
• Provide Greeks analysis (Delta, Gamma, Vega, Vanna, Volga) and support intraday risk across the FX options book
• Develop and calibrate stochastic volatility models (Local Vol, Heston, SABR) to live FX vol surfaces
• Work closely with brokers and institutional clients to support pricing, execution, and analytics
• Produce model documentation and validation materials to meet internal governance standards
• Support new product development on bespoke FX derivatives structures

Required Experience

• 4+ years of desk quant experience at a Tier 1 investment bank or leading wholesale markets firm (Bank of America, JP Morgan, Goldman Sachs, Citi, Barclays, Deutsche Bank, or equivalent)
• Deep expertise in FX vanilla and exotic options pricing
• Strong command of stochastic volatility models and FX vol surface calibration
• Proficiency in C++ for quantitative library development and Python for analytics
• Solid grounding in stochastic calculus and numerical methods (Monte Carlo, finite difference PDE)
• Advanced degree (MSc or PhD) in Mathematical Finance, Applied Mathematics, Physics, or related field
• Prior experience at an inter‑dealer broker or in a client‑facing quant role
• Experience with multi‑currency hybrid or cross‑asset FX/Rates products
• Familiarity with xVA (CVA/DVA) in the context of FX derivatives
• Exposure to FRTB or SA‑CCR capital frameworks

All applications are handled in strict confidence by RocketFin Consulting.

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