Vice President, Quantitative Analyst – FX Options | SCIB in Kennington

Vice President, Quantitative Analyst – FX Options | SCIBCountry: United KingdomJoin our community.Santander Corporate & Investment Banking (SCIB) is Santander's global division that supports some of the world's most complex and sophisticated corporate and institutional clients, offering customised services and value-added wholesale products to best meet their needs.The Front office Quant area is responsible of the development of the pricing and risk models for Sales and trading teams.
All candidates should make sure to read the following job description and information carefully before applying.
FX Options is a Global business that requires support in locations around the world.As part of the FX Quants team, you’ll focus on the development, extension and maintenance of the FX model libraries.
You’ll interact with traders and sales in other international offices to explain modelling assumptions and risk implications and to understand the practical use of the models.
You’ll also work closely with local quant groups in other geographies to provide seamless coverage and support.The difference you’ll make:Being part of the FX Quants group focused on the development of derivatives modelsContributing to the extension of existing models to improve interest rate to include interest rate volatility riskDesigning and implementing our pricing and risk libraries for the scope of our existing and prospective FX productsDeveloping an efficient risk framework to represent the risks by making use of advance techniquesDesigning and extending the APIs for our pricing librariesDeveloping and optimising algorithmsRefining existing quants framework and quantitative tools to meet highest quality standardsAssisting with the development, improvement, and maintenance of the testing process in our quantitative libraries and toolsProviding mathematical and technical documentation to internal stakeholdersSupporting Trading, Sales and Risk teamsWhat you’ll bring: Our people are our greatest strength.
Every individual contributes unique perspectives that make us stronger as a team and as an organisation.
We’re enabling teams to go beyond by valuing who they are and empowering what they bring.The following requirements represent the knowledge, skills, and abilities essential for success in this role.Previous experience in a similar quantitative roleIn-depth knowledge of Foreign Exchange products and valuationExcellent programming skills in C++ and PythonHigher qualification in a relevant mathematical based degreeAn excellent problem solver who can contribute with innovative ideasKnowledge of options pricing theory, quantitative models, probability theory and stochastic processesCreative thinker, with the ability to make decisions quickly, often under pressure and with limited informationWell-developed interpersonal and communication skillsIt would also be nice for you to have:PhD in a relevant mathematical based degreeFluency in additional languages, especially SpanishFamiliarity with Stochastic-Local volatility modelsExperience of implementing a PDE or Monte Carlo pricing engineWhat else you need to know:This role is based at our offices in Triton Square, London located within easy walking distance from Warren Street and Euston.We want our people to thrive at work and home, and also be able to deliver the best outcomes for our customers and to help each other develop.Equal Opportunities.Santander is proud of being an organization where there are equal opportunities regardless of age, gender, disability, civil status, race, religion or sexual orientation.
We are committed to providing an inclusive and accessible application process for all candidates.How we’ll reward you.Your contribution matters, and it’s recognised.
You can expect a fair, competitive reward package that reflects the impact you create and the value you deliver.As well as a competitive salary, you’ll enjoy a benefits package that you can tailor to your needs.Eligible for a discretionary performance-related annual bonus.We put 8% of salary into your pension, even if you don’t contribute yourself.
We’ll pay in up to 12.5% of salary, if you contribute as well, and you can take some of our contribution in cash if you prefer.30 days’ holiday plus