DRW is a technology-driven, diversified principal trading firm. We trade our own capital at our own risk, across a broad range of asset classes, instruments and strategies, in financial markets around the world. As the markets have evolved over the past 25 years, so has DRW – maximizing opportunities to include real estate, cryptoassets and venture capital. With over 1,200 employees at our Chicago headquarters and offices around the world, we work together to solve complex problems, challenge consensus and deliver meaningful results. It’s a place of high expectations, deep curiosity and thoughtful collaboration.
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 convention and FX products
- have hands-on experience with modeling and pricing FX options and exotics including:
- Barrier Options
- Digital Options
- Contingent Options
- Basket Options
- Variance Swaps
- 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 math
- 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
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 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
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