About the job
Valuation Quantitative Analyst – London, UK
Global Futures and Options Ltd "(GFO-X)”, is a UK based digital asset derivatives trading venue FCA approved and registered. We are seeking a Valuation Quantitative Analyst to join our growing team.
You will be part of a dynamic and experienced team bringing the features of traditional derivative markets to the rapidly expanding cryptocurrency arena. GFO-X will be a leader in the new era of regulated trading venue that trade 24/7.
The successful candidate will be joining the Quantitative Strategy team in our London office and report to our Senior Quantitative Strategist based in Hong Kong.
Tasks and Responsibilities
- Oversee and contribute to the orderly end of day and intraday valuation of our instruments for our central clearing counterparty
- Monitor the quantitative computations leading to the results, and challenge the market input to the model.
- If necessary, provide manual adjustments to the valuation process in an auditable and reproducible way.
- Continuously refine the model through team-work research and development
- Analyse our own and external market data to extract the knowledge needed to refine pricing of liquid instruments
- Improve our interpolation routines to maintain a smooth and correct volatility surface
- Monitor the recording of market data from other exchanges and the computation of indices
- Contribute to research papers based on our market data and crypto-derivatives in general for internal and external stakeholders
Skills and Background
- 2 or 3 years of working experience in a futures and options valuation role
- Graduate degree with finance and quantitative subject
- Excellent communication skills to handle the smooth cooperation with IT teams, management, risk, compliance, the clearing counterparty and potentially the regulator
- Strong understanding of futures and options pricing, knowledge of curve fitting techniques and modelling, knowledge of VAR, expected shortfall and SPAN risk models
- Ability to code in python or another scripting language and use it for data analysis and statistics
- Other quantitative skills (machine learning, low level programming languages, blockchain development) are a plus.
- Ability to work under pressure with strict time constraints on an asset class that trades 24/7, and to adapt to a rapidly evolving environment
- Passion for joining a vibrant crypto-related company with teams split over several continents
This role is to be based in our London office. GFO-X is an equal opportunities employer committed to diversity and inclusion. Competitive benefits included.