Santander Corporate & Investment Banking
Wholesale banking
VicePresident,QuantitativeAnalyst–FXOptions
“Vice President, Quantitative Analyst – FX Options at Santander Corporate & Investment Banking. Skills: Quantitative Analysis, FX Options Modeling, C++, Python. development, extension and maintenance of the FX model libraries. development of derivatives models”
Industry & Context.
excellent problem solver
What They're Looking For.
Must Have
Previous experience in a similar quantitative role, In-depth knowledge of Foreign Exchange products and valuation, Excellent programming skills in C++ and Python, Higher qualification in a relevant mathematical based degree, An excellent problem solver who can contribute with innovative ideas, Knowledge of options pricing theory, quantitative models, probability theory and stochastic processes, Creative thinker, with the ability to make decisions quickly, often under pressure and with limited information, Well-developed interpersonal and communication skills
Nice to Have
PhD in a relevant mathematical based degree, Fluency in additional languages, especially Spanish, Familiarity with Stochastic-Local volatility models, Experience of implementing a PDE or Monte Carlo pricing engine
What You'll Do.
extension and maintenance of the FX model libraries
development of derivatives models
extension of existing models to improve interest rate to include interest rate volatility risk
Designing and implementing our pricing and risk libraries for the scope of our existing and prospective FX products
Developing an efficient risk framework to represent the risks by making use of advance techniques
Designing and extending the APIs for our pricing libraries
Developing and optimising algorithms
Refining existing quants framework and quantitative tools to meet highest quality standards
Assisting with the development
and maintenance of the testing process in our quantitative libraries and tools
Providing mathematical and technical documentation to internal stakeholders
How You'll Work.
Team & Collaboration
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; work closely with local quant groups in other geographies to provide seamless coverage and support; Supporting Trading, Sales and Risk teams
Communication Scope
interpersonal and communication skills; explain modelling assumptions and risk implications
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