FX Options Desk Quant

About this role

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.