Quantitative Researcher - FX

DRW is a diversified trading firm with over 3 decades of experience bringing sophisticated technology and exceptional people together to operate in markets around the world. We value autonomy and the ability to quickly pivot to capture opportunities, so we operate using our own capital and trading at our own risk.

Headquartered in Chicago with offices throughout the U.S., Canada, Europe, and Asia, we trade a variety of asset classes including Fixed Income, ETFs, Equities, FX, Commodities and Energy across all major global markets. We have also leveraged our expertise and technology to expand into three non-traditional strategies: real estate, venture capital and cryptoassets.

We operate with respect, curiosity and open minds. The people who thrive here share our belief that it’s not just what we do that matters–it's how we do it. DRW is a place of high expectations, integrity, innovation and a willingness to challenge consensus.

DRW is looking for an exceptional Quantitative Researcher with an expertise in FX Derivatives modeling to join a team of highly talented engineers tasked with building a proprietary multi-asset class analytics platform.  Your role will focus on all areas of quantitative research including the research, development, and testing of valuation models while working closely with the software engineers responsible for the analytics platform.  Your work will be used throughout the organization on a daily basis by traders, risk managers, and back office analysts.

To qualify for this role, you:

• have 5+ years of experience in a Front Office quant role supporting FX derivatives trading at a top-tier bank
• have in-depth knowledge of FX markets, FX market conventions and FX products
• have hands-on experience with modeling and pricing FX options and exotics including:
  • Digital Options
  • Variance Swaps
  • Barrier Options, Touch Options and other first-generation FX exotics
  • Basket Options and other multi-currency exotics
  • Forward Volatility Agreements
• have a deep understanding of modern modeling methods used for pricing and risk management of vanilla and exotic FX derivatives including stochastic volatility and SLV models
• have at least 5 years of professional experience with modern C++
• have experience developing and providing front-line support for high-performance financial analytics code
• have experience with optimizing numerical calculations for optimal performance
• have hands on experience integrating analytics libraries with large scale software systems and services
• have extensive hands on experience with Python, Excel and VBA
• have created and supported user-facing interactive tools for pricing, PnL and Risk calculations and market analysis
• can demonstrate expertise in stochastic calculus, probability theory, and other related fields of mathematics
• have a Ph.D. in a quantitative field such as physics, mathematics, operations research or financial engineering
• have strong communication and collaboration skills with the ability to work within a multi-disciplinary team that includes traders, software engineers, and quants
• have strong ownership of work and the ability to work independently and under pressure

Bonus points if you have:

• experience with derivatives in asset classes such as Interest Rates, Crypto, Commodities, Equity, Emerging Markets
• experience with developing term structure models (LMM, LGM, QGM, Cheyette, etc.)
• experience with Adjoint Algorithmic Differentiation
• experience with other programming languages such as C#, Java
• experience leading research initiatives/projects with limited oversight
• experience with statistical analysis and working with large datasets provided in relational or key-value databases
• experience training less quantitative personnel on topics such as FX and fixed income analytics

The annual base salary range for this position is $225k to $250k, depending on the candidate’s experience, qualifications, and relevant skill set. The position is also eligible for an annual discretionary bonus.  In addition, DRW offers a comprehensive suite of employee benefits including group medical, pharmacy, dental and vision insurance, 401k (with discretionary employer match), short and long-term disability, life and AD&D insurance, health savings accounts, and flexible spending accounts.

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