FXO Quantitative Specialist

Description

We are seeking a Quantitative Analyst to join SG R&D in AMER, focusing on FX Options with an emphasis on Emerging Markets. The role covers pricing model development, volatility modeling, and close interaction with trading desks.

Main Responsibilities

• Conduct quantitative research to develop FXO models, enhance existing pricing models

• Develop new methodologies for pricing, hedging, and risk management of EM FX derivatives

   

• Maintain existing pricing library and the pricing tools used by the trading in the pre-trade for risk management and P&L estimation

• Provide an adequate support to trading, sales, engineers, IT users and risk validators in their use of these tools. 

• Collaborate with FXO traders, engineering, and other stakeholders to understand business requirements 

• Develop adequate quantitative solutions and/or adapt existing pricing models to address business requirements. 

• Collaborate with technology teams to understand and address issues encountered by the trading.

Profile Required

Technical Skills

• Strong derivatives pricing expertise

• Strong in mathematics, stochastic calculus

• Experience in FX options and FX volatility modeling

• Strong programming skills

   

   

  Experience

   

   

• 3+ years of experience on similar roles

Education

• Master’s degree in finance, Mathematics, or Engineering

• PhD. is a plus

   

Societe Generale is committed to offering an inclusive recruitment experience to all candidates. If you require any reasonable accommodations during the recruitment process, please do not hesitate to let our Recruiters know.

OUR CULTURE: 
At Societe Generale, we live by our 4 core values of commitment, responsibility, team spirit and innovation. We are engaged and demonstrate consideration for others. We act ethically and with courage. We focus our talent and energy on collective success. We experiment and propose new ideas. This way, we maximize our ability to serve client needs and anticipate market changes. Societe Generale is committed to strengthening bonds with colleagues, communities, and the world in which we live, because relationships are at the heart of how we operate. For more information about our Culture and Conduct initiatives, please visit this link (https://americas.societegenerale.com/en/careers/get-know-culture/)

DIVERSITY, INCLUSION & BELONGING (“DIB”):
Our DIB Mission: Recruit, develop, retain and advance a talented workforce that is united in our efforts to leverage our talent and further develop an inclusive environment that will enhance our competitive position and deliver innovative solutions to our clients. It seeks to foster an environment where employee differences are valued and where all employees feel engaged, supported, respected, and informed. For more information about our DIB initiatives, please visit this link: https://americas.societegenerale.com/en/careers/get-know-diversity/

COMPENSATION:
Base salary range does not include overtime pay, bonus and/or other benefits, where applicable. Actual base salary offer will vary based on skills and experience. The role is eligible for an annual discretionary bonus and includes a competitive benefits package including 401(k) plan with company match, medical/dental/vision, and other benefits for fertility, wellness, student loans and commuters.