The Role
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
Desirable
- 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.
