Macro FX Desk Quant, ED

Wells Fargo•City Of London, England, UK

fulltime

Research and Analyst

5+ years

About the role

About This Role Wells Fargo is seeking a Macro-FX Desk Quant (also known internally as a Senior Lead Securities Quantitative Analytics Specialist).

As a Macro-FX Desk Quant you will assume a front office desk Quant role in London to closely support the Macro-FX trading desks as part of the global modelling team. This includes Foreign Exchange (“FX”) and cross FX/Rates products. In particular, you need to have experience in FX Spot and Options modelling in a front office delivery role on a trading floor, ideally combined with experience in Rates or FX/IR Hybrid derivatives. This Quant would be working closely with the Macro-FX traders, and other quant team members in order to design, implement, support and deliver Option pricing and trading models, as well as their integration into Trading and Risk systems. You would be in close contact with other Quant team members, IT developers and the Control Groups globally to ensure best practice and coherent implementation.

In This Role, You Will

Design, implement, support, and deliver pricing and trading models, as well as their integration into Trading and Risk systems for the Macro-FX business.
Work closely with Traders on short-term projects, as well as working within the Quant team on wider projects for the business.
Participate in the analysis, design, implementation, testing, and delivery of derivative pricing and trading models for FX and FX/Rates products.
Proactively understand business needs and market conventions, interact effectively with traders and/or management, and initiate possible solutions with clear and intuitive verbal and/or written communications and documentation.
Perform core financial model analysis and development with a fundamental understanding of arbitrage, hedging, calibration and stochastic processes.
Model implementation in C++ and Java with due care and attention and the incorporation of sanity checking.
Participate in the model deployment and support of models in trading systems.
Understand processes and work flows to make recommendations for process improvements. Bring closure to issues, questions and requests. Solve problems independently.
Consistently learn new systems, applications, processes and techniques.

Required Qualifications

Experience in Securities Quantitative Analytics, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education.
Expertise in exotic FX derivatives models such as Stochastic Local Vol and models for non-vanilla CSA. Expertise with stochastic rates and FX/IR hybrid models is a plus.
Solid knowledge of financial mathematics, particularly, stochastic calculus, arbitrage, hedging, PDE, Monte-Carlo and other numerical methods.
Significant experience working as a front office desk Quant for FX derivatives, ideally with exposure to exotics Rates derivatives and FX/IR hybrids.
Hands on experience of C++/Java and Python
Post graduate qualification in quantitative field such as mathematics, statistics, engineering, physics or computer science, ideally a PhD.
Deep knowledge of FX markets and conventions, hedging practices, and calibration issues. Knowledge of Rates markets is a plus.
Team player, comfortable on a trading floor, with strong, clear and concise written and oral communication skills
Demonstrated experience with exchange-traded derivatives
Delivery focused with experience participating in the model deployment in the system.
Ability to work on multiple projects, to problem solve, and to effectively organize tasks, manage time, set priorities and deadlines.

Desired Qualifications

Demonstrated experience in successfully collaborating with others in a change driven environment.
Curious to keep up with market practices and recent developments on the pricing and regulatory fronts.
Good intuitions on the models and the model results.
Strong interest in financial markets and willingness to provide practical solutions for a trading desk.
Experience of using AI coding tools

Job Expectations

Play an integral role to the trading floor
Participate in moderately complex initiatives and deliverables within Securities Quantitative Analytics
Contribute to large-scale departmental planning
Combine mathematical programming and market expertise to build and generate systematic strategies for hedging
Review and analyze moderately complex business, operational, or technical challenges within Securities Quantitative Analytics that require an in-depth evaluation of variable factors
Use quantitative and technological techniques to solve complex business problems
Conduct research on trading cost models, liquidity models, risk models, portfolio construction methodology, and signal generation
Resolve moderately complex issues independently
Participate with the team to meet deliverables while leveraging solid understanding of Securities Quantitative Analytics policies, procedures, and compliance requirements
Collaborate and consult with peers, colleagues, and mid-level managers to resolve issues and achieve goals
Help in projects, teams, or serve as a mentor for less experienced staff

Reference Number R-504430

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