FX Quant Lead
FX Quant Lead
Client: Leading European Investment Bank
Location: Paris, Hybrid
Contract: Long‑term, up to 3 years
About the Company
Our client is a major European financial institution with strong front‑office quant, trading and technology partnerships. The firm emphasises disciplined risk management, robust quantitative libraries and pragmatic delivery to support complex derivatives businesses across Rates, Credit and FX.
Job Description
The front‑office Quantitative Analytics team is seeking a hands‑on Quant Lead to develop and maintain the C++ pricing and risk library spanning FX structured products and linear Rates. The role combines technical leadership, trader interaction and day‑to‑day quantitative development. You will act as the primary interlocutor for FX on your scope, organise regular follow‑ups with trading, and supervise a small group of quants (2-4) while remaining directly involved in modelling and code. On the Rates side, the focus is on risk conversion, curve construction/combination and convexity handling to deliver stable, real‑time curves used in pricing and risk.
Key Responsibilities:
- Lead modelling and delivery for FX structured products, partnering with traders and supervising 2-4 quants.
- Design, implement and maintain stochastic models for FX, ideally including LSV, with robust calibration and documentation.
- Build and industrialise linear Rates capabilities: real‑time curve construction, risk conversion and convexity adjustments for pricing.
- Produce high‑quality C++ code in the front‑office quant library and collaborate with IT teams on system integration (e.g., Murex, Summit).
- Ensure models and curves are stable, transparent and production‑ready; manage urgent fixes and communicate clearly with trading.
Ideal Qualifications
- Strong C++ development experience in front‑office quant libraries and production model delivery.
- FX modelling expertise with stochastic frameworks; LSV exposure strongly preferred, particularly for ~2‑yearstructured products.
- Linear Rates experience focused on curve construction, risk conversion and convexity in pricing; real‑time curve/algorithmic build experience.
- Ability to supervise a small quant pod while remaining hands‑on; excellent communication with traders.
- French‑speaking.
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